/raid1/www/Hosts/bankrupt/TCR_Public/111009.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, October 9, 2011, Vol. 15, No. 280
Headlines
280 FUNDING I: Moody's Raises Cl. C Notes Rating to Baa2 From Ba2
ABACUS 2006-13: S&P Cuts 11 Tranches Ratings From 'CCC-' to 'CC'
ANSONIA CDO: S&P Lowers Ratings on 13 Classes From 'CCC-' to 'D'
APIDOS CLO: S&P Gives 'BB' Rating on Class D Notes
ARBOR REALTY 2004-1: Fitch Affirms Junk Rating on Two Note Classes
ARBOR REALTY 2005-1: Fitch Affirms Junk Rating on Two Note Classes
BANC OF AMERICA: Fitch Affirms Junk Rating on Six Cert. Classes
BEAR STEARNS: Fitch Affirms Junk Rating on Nine Cert. Classes
BEAR STEARNS: S&P Lowers Ratings on 7 Classes of to 'D'
BMI CLO: S&P Affirms Class D Floating-Rate Notes Rating at 'BB'
BRENTWOOD CLO: S&P Raises Rating on Class D Notes to 'BB-'
BSDB 2005-AFR1: Moody's Affirms Rating of Class D Notes at 'Ba1'
CAPITAL TRUSTE: Fitch Affirms Junk Ratings on Eight Note Classes
CAPITAL TRUST: Fitch Affirms Junk Rating on Six Note Classes
CAPITALSOURCE COMM: Fitch Holds Rating on $14MM Notes at 'CCCsf'
CAPITALSOURCE COMM: Stable Performance Cues Fitch to Hold Ratings
CAPITALSOURCE COMM: Fitch Holds Rating on 2 Note Classes at Low-B
CBA COMMERCIAL: S&P Lowers Rating on Class M-1 Certificates to 'D'
CHESAPEAKE FUNDING: Moody's Assigns Definitive Ratings to Notes
CIT CLO: Moody's Upgrades Ratings of Class E Notes to 'Ba3'
CITIGROUP COMMERCIAL: Fitch Junks Rating on Eight Cert. Classes
COMM 2011-FL1: Moody's Assigns (P)Ba2 Rating to Class E Notes
COMSTOCK FUNDING: Moody's Raises Rating of Cl. D Notes to 'Ba3'
COUGAR CLO: Moody's Raises Rating of $17.2-Mil. Notes to 'Ba1'
CPS AUTO: S&P Gives 'B+' Rating on Class D Notes
CREST 2001-1: Moody's Lowers Rating of Notes Due 2034 to 'Ca'
DEUTSCHE BANK: Fitch Plans to Rate $5.9 Mil. NH1 Note at 'BBsf'
DFR MIDDLE MARKET: Moody's Raises Rating of Class D Notes to 'Ba1'
DOWLING COLLEGE: Moody's Lowers Rating of '96 & '92 Bonds to Caa1
FHA-VA RMBS: Moody's Downgrades Cl. I-F Notes Rating to 'Ba1'
FIRST INVESTORS: S&P Gives 'BB' Rating on Class E Notes
G-FORCE 2005-RR: S&P Affirms 'CCC-' Ratings on 2 Classes of Certs.
GALE FORCE 1: Moody's Raises Rating of Class E Notes to 'Ba2'
GALE FORCE 3: Moody's Raises Rating of Class D Notes to 'Ba1'
GREENWICH CAPITAL: S&P Cuts Ratings on 3 Classes of Certs. to 'D'
GREENWICH CAPITAL: S&P Lowers Rating on Class H Certs. to 'CCC-'
GS MORTGAGE: S&P Cuts Ratings on 3 Classes of Certificates to 'D'
HARRISBURG AUTHORITY: Moody's Reviews 'Ba1' Rating for Downgrade
INA CBO 1999-1: Fitch Withdraws 'Dsf' Rating on $26-Mil. Notes
JP MORGAN: Fitch Puts Rating on 3 2011-C5 Note Classes at Low-B
JP MORGAN: Stable Performance Cues Fitch to Affirm Ratings
JPMCC 2011-C5: Moody's Gives Definitive Ba2 Rating to Cl. E Notes
JPMORGAN CHASE: S&P Lowers Ratings on 4 Classes of Certs. to 'D'
JPMORGAN CHASE: S&P Lowers Rating on Class K Certificates to 'D'
JPMORGAN-CIBC COMMERCIAL: S&P Cuts Rating on Class A-2 to 'D'
LEAF RECEIVABLES: DBRS Assigns 'B' Rating to Class E-2 Notes
MARIAH RE: S&P Lowers Rating on Series 2010-1 Notes to 'CCC'
MORGAN STANLEY: S&P Cuts Ratings on 2 Classes of Certs. to 'CCC-'
NORTH CAROLINA: Fitch Affirms Rating on $15.9 Mil. Bonds at 'BB+'
NUCO2 FUNDING: Moody's Assigns Definitive Ratings to Third Series
OSPREY CDO: Moody's Raises Rating of Class B-1L Notes to 'Ba1'
PETRA CRE CDO: Moody's Affirms Rating of Cl. B Notes at 'B3'
PPLUS TRUST: Moody's Lowers Rating of $35-Mil. Notes to 'B3'
PPLUS TRUST: Moody's Lowers Rating of Cl. A Certificates to 'B3'
PREFERREDPLUS TRUST: Moody's Lowers Rating of $31-Mil. Notes to B3
PREFERREDPLUS TRUST: Moody's Lowers Rating of $125.8MM Notes to B3
RFC CDO: Moody's Upgrades Rating of Cl. A-2 Notes to 'Ba2'
SANDELMAN FINANCE: Moody's Upgrades Rating of Cl. D Notes to 'Ba2'
SANTANDER DRIVE: Moody's Assigns (P)Ba2 Rating to Cl. E Notes
SANTANDER DRIVE: S&P Gives 'BB' Rating on Class E Notes
SAPPHIRE VALLEY: Moody's Upgrades Rating of Class E Notes to 'Ba2'
SEQUOIA MORTGAGE: Fitch Puts Rating on $3 Million Cert. at 'BBsf'
SLM STUDENT: Fitch Affirm Rating on Class B Notes at 'BBsf'
SOUTH STREET: S&P Reinstates & Lowers Ratings on 3 Classes to 'D'
STONE TOWER: Moody's Raises Rating of Class A-2L Notes to 'Ba3'
TIERS RIVERSIDE: S&P Gives 'BB' Rating on Series 2011-3 Sr. Certs.
VOLKSWAGEN CREDIT: Moody's Assigns Definitive Ratings
WACHOVIA BANK: S&P Lowers Rating on Class O From 'B-' to 'CCC+'
WESTCHESTER CLO: Moody's Raises Rating of Class D Notes to 'B3'
* S&P Lowers Ratings on 4 Classes From 3 CDO Transactions to 'D'
* S&P Lowers Ratings on 6 Classes of Certificates to 'D'
* S&P Lowers Ratings on 9 Classes of Certificates to 'D'
* S&P Lowers Ratings on 606 Classes From 82 US RMBS Transactions
* S&P Withdraws 'D' Ratings on 62 Classes from 6 U.S. CMBS Deals
*********
280 FUNDING I: Moody's Raises Cl. C Notes Rating to Baa2 From Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by 280 Funding I:
US$165,000,000 Series 2006-3 Class B Senior Secured Deferrable
Floating Rate Notes Due 2021, Upgraded to A2 (sf); Previously on
June 22, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade;
US$90,000,000 Series 2006-3 Class C Senior Secured Deferrable
Floating Rate Notes Due 2021, Upgraded to Baa2 (sf); Previously on
June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The actions reflect key
changes to the modeling assumptions, which incorporate (1) a
removal of the temporary 30% default probability macro stress
implemented in February 2009 as well as (2) increased BET
liability stress factors and increased recovery rate assumptions.
The actions also reflect consideration of credit improvement of
the underlying portfolio since the rating action in October 2009.
Based on the latest trustee report from August 2011, the weighted
average rating factor is currently 2568 compared to 3052 in the
August 2009 report.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $1.46 billion,
defaulted par of $0, a weighted average default probability of
28.9% (implying a WARF of 3136), a weighted average recovery rate
upon default of 48.0%, a diversity score of 40 and a fully drawn
Class A-1 note balance of $150 million. These default and recovery
properties of the collateral pool are incorporated in cash flow
model analysis where they are subject to stresses as a function of
the target rating of each CLO liability being reviewed. The
default probability is derived from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends and collateral manager latitude for trading the
collateral are also factors.
280 Funding I, issued in June 2006, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior, 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new issue
loans or other loans with longer maturities and/or participate in
amend-to-extend offerings. Moody's tested for a possible extension
of the actual weighted average life in its analysis.
2) Other collateral quality metrics: The deal is allowed to
reinvest and the manager has the ability to deteriorate the
collateral quality metrics' existing cushions against the covenant
levels. Moody's analyzed the impact of assuming the worse of
reported and covenanted values for weighted average spread and
diversity score. However, as part of the base case, Moody's
considered a weighted average rating factor and coupon levels
higher than the covenant levels due to the large difference
between the reported and covenant levels.
3) Exposure to credit estimates: The deal is exposed to securities
whose default probabilities are assessed through credit estimates.
In the event that Moody's is not provided the necessary
information to update the credit estimates in a timely fashion,
the transaction may be impacted by any default probability
stresses Moody's may assume in lieu of updated credit estimates.
ABACUS 2006-13: S&P Cuts 11 Tranches Ratings From 'CCC-' to 'CC'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on nine
tranches from nine corporate-backed synthetic collateralized debt
obligation (CDO) transactions and removed them from CreditWatch
with positive implications. "At the same time, we lowered our
ratings on 12 tranches from eight synthetic CDO transactions
backed by residential mortgage-backed securities (RMBS), lowered
our ratings on 71 tranches from 15 synthetic CDO transaction
backed by commercial mortgage-backed securities (CMBS), and
lowered our ratings on two tranches from two corporate-backed
synthetic CDOs. In addition, we affirmed our ratings on 12
tranches from 11 synthetic CDO transactions," S&P said.
"The upgrades affected synthetic CDOs that experienced a
combination of upward rating migration in their underlying
reference portfolios, seasoning of the underlying reference names,
and an increase in the synthetic rated overcollateralization
(SROC) ratios above 100% at higher rating levels as of the
September review and at our projection of the SROC ratios in 90
days assuming no credit migration. The downgrades affected
synthetic CDOs that had experienced negative rating migration in
their underlying reference portfolios. The affirmations reflect
our opinion of the availability of sufficient credit support at
the current rating levels," S&P stated.
Rating Actions
ABACUS 2006-13 Ltd.
Rating
Class To From
A CC (sf) CCC- (sf)
B CC (sf) CCC- (sf)
C CC (sf) CCC- (sf)
D CC (sf) CCC- (sf)
E CC (sf) CCC- (sf)
F CC (sf) CCC- (sf)
G CC (sf) CCC- (sf)
H CC (sf) CCC- (sf)
K CC (sf) CCC- (sf)
L CC (sf) CCC- (sf)
M CC (sf) CCC- (sf)
ABACUS 2006-17 Ltd.
Rating
Class To From
A-1 CC (sf) CCC- (sf)
ABACUS 2006-NS1 Ltd.
Rating
Class To From
A CC (sf) CCC- (sf)
B CC (sf) CCC- (sf)
C CC (sf) CCC- (sf)
ABSpoke 2005-IA Ltd.
Rating
Class To From
ABSpoke CCC+ (sf) CCC+ (sf)
ABSpoke 2005-VIA Ltd.
Rating
Class To From
VFRN CCC+ (sf) CCC+ (sf)
Aphex Capital NSCR 2007-7FL Ltd.
Rating
Class To From
A CC (sf) CCC- (sf)
B CC (sf) CCC- (sf)
C CC (sf) CCC- (sf)
Aphex Capital NSCR 2007-7SR Ltd.
Rating
Class To From
A-1A CC (sf) CCC- (sf)
A-1B CC (sf) CCC- (sf)
A-2 CC (sf) CCC- (sf)
B CC (sf) CCC- (sf)
C CC (sf) CCC- (sf)
D-A CC (sf) CCC- (sf)
D-B CC (sf) CCC- (sf)
E CC (sf) CCC- (sf)
F CC (sf) CCC- (sf)
G CC (sf) CCC- (sf)
H CC (sf) CCC- (sf)
J CC (sf) CCC- (sf)
Calculus HG CDO Trust Series 2006-1
Rating
Class To From
VarDisTrUn CC (sf) CCC- (sf)
Calculus HG CDO Trust Series 2006-2
Rating
Class To From
VarDisTrUn CC (sf) CCC- (sf)
Calculus SCRE Trust Series 2006-11
Rating
Class To From
Trust Unit CC (sf) CCC- (sf)
Calculus SCRE Trust Series 2007-1
Rating
Class To From
Var Tr Lnk CC (sf) CCC- (sf)
Credit Default Swap
$1 bil Swap Risk Rating - Portfolio CDS Ref. No. 07ML113512A
Rating
Class To From
Tranche CCsrp (sf) CCC-srp (sf)
Credit Default Swap
$250.25 mil MBIA Insurance Corp - Deutsche Bank AG New York Branch
Rating
Class To From
Tranche CCsrp (sf) CCC-srp (sf)
Credit Default Swap
$500 mil Credit Default Swap - CRA700386
Rating
Class To From
Swap AAsrp (sf) AA-srp (sf)/Watch Pos
Credit Default Swap
$500 mil Credit Default Swap - CRA700396
Rating
Class To From
Swap AAsrp (sf) AA-srp (sf)/Watch Pos
Credit-Linked Trust Certificates
Series 2005-I
Rating
Class To From
2005-I-I A- (sf) BBB+ (sf)/Watch Pos
Eirles Two Ltd.
Series 212
Rating
Class To From
212 CC (sf) CCC- (sf)
Eirles Two Ltd.
Series 211
Rating
Class To From
211 CC (sf) CCC- (sf)
Eirles Two Ltd.
Series 210
Rating
Class To From
Series 210 CC (sf) CCC- (sf)
Eirles Two Ltd.
Series 209
Rating
Class To From
Series 209 CC (sf) CCC- (sf)
Eirles Two Ltd.
Series 242-245 & 247
Rating
Class To From
Series 242 CC (sf) CCC- (sf)
Series 243 CC (sf) CCC- (sf)
Series 244 CC (sf) CCC- (sf)
Series 245 CC (sf) CCC- (sf)
Series 247 CC (sf) CCC- (sf)
Eolo Investments B.V.
$200 mil Credit Swap Transaction
Series 2006-1
Rating
Class To From
Tranche CCC+srp (sf) CCC+srp (sf)
Infiniti SPC Ltd.
$31 mil Infiniti SPC Limited Acting on Behalf of and for the
Account of the
Potomac Synthetic CDO 2007-1 Segregated Portfolio
Series 10B-1
Rating
Class To From
10B-1 B- (sf) CCC- (sf)/Watch Pos
Maclaurin SPC
Series 2007-2
Rating
Class To From
A1 CC (sf) CCC- (sf)
A2 CC (sf) CCC- (sf)
B CC (sf) CCC- (sf)
Morgan Stanley ACES SPC
Series 2007-8
Rating
Class To From
IB D (sf) CC (sf)
Morgan Stanley ACES SPC
Series 2007-22
Rating
Class To From
IA AA+ (sf) AA (sf)/Watch Pos
Morgan Stanley ACES SPC
Series 2008-3
Rating
Class To From
Notes BBB+ (sf) BB (sf)/Watch Pos
North Street Referenced Linked Notes 2003-5 Ltd.
Rating
Class To From
B-1 AA+ (sf) AA+ (sf)
B-2 AA (sf) AA (sf)
Prelude Europe CDO Ltd.
Series 2006-1
Rating
Class To From
Notes B- (sf) CCC- (sf)/Watch Pos
Rutland Rated Investments
Series 13
Rating
Class To From
Series 13 CCC+ (sf) B- (sf)/Watch Neg
Rutland Rated Investments
$40 mil Rutland Rated Investments - Series 57 (Vertical Milbrook
2007-1)
USD
40,000,000 Asset-Backed Securities Class A-1A Variable Rate
Credit-Linked
Notes
Rating
Class To From
Series 57 CC (sf) CCC- (sf)
Sceptre Capital B.V.
EUR11.9 mil index basket synthetic CDO squared notes due April
2017
Series 2007-2
Rating
Class To From
CC (sf) CCC- (sf)
Seawall 2006-4 Ltd.
Rating
Class To From
A CC (sf) CCC- (sf)
B CC (sf) CCC- (sf)
C CC (sf) CCC- (sf)
D-1 CC (sf) CCC- (sf)
D-2 CC (sf) CCC- (sf)
E-1 CC (sf) CCC- (sf)
E-2 CC (sf) CCC- (sf)
E-3 D (sf) CCC- (sf)
E-4 D (sf) CCC- (sf)
Seawall 2006-4a Ltd.
Rating
Class To From
D-1 CC (sf) CCC- (sf)
D-2 CC (sf) CCC- (sf)
E-1 CC (sf) CCC- (sf)
E-2 CC (sf) CCC- (sf)
E-3 D (sf) CCC- (sf)
E-4 D (sf) CCC- (sf)
Select Notes Trust LT 2003-3
Rating
Class To From
Certs BBB+ (sf) BBB+ (sf)
Select Notes Trust LT 2003-2
Rating
Class To From
Certifica BBB+ (sf) BBB+ (sf)
Select Notes Trust LT 2003-5
Rating
Class To From
Certs BBB+ (sf) BBB+ (sf)
Select Notes Trust Securities Long Term Trust Certificates 2003-4
Rating
Class To From
Certifica BBB+ (sf) BBB+ (sf)
SPGS SPC
Series MSC 2006-SRR1-A2
Rating
Class To From
A2 CC (sf) CCC- (sf)
A2-S CC (sf) CCC- (sf)
SPGS SPC, acting for the account of MSC 2006-SRR2 Segregated
Portfolio
Rating
Class To From
A-1 CC (sf) CCC- (sf)
B CC (sf) CCC- (sf)
C CC (sf) CCC- (sf)
D CC (sf) CCC- (sf)
E CC (sf) CCC- (sf)
F CC (sf) CCC- (sf)
G CC (sf) CCC- (sf)
H CC (sf) CCC- (sf)
J CC (sf) CCC- (sf)
K CC (sf) CCC- (sf)
L CC (sf) CCC- (sf)
M CC (sf) CCC- (sf)
N CC (sf) CCC- (sf)
O CC (sf) CCC- (sf)
P CC (sf) CCC- (sf)
Q CC (sf) CCC- (sf)
STRATA 2006-35 Ltd.
Rating
Class To From
Notes B (sf) B- (sf)/Watch Pos
Strata Trust, Series 2007-7
Rating
Class To From
Notes B (sf) CCC- (sf)/Watch Pos
Structured Asset Trust Unit Repackagings CBT Series 2003-1 Unit
Trust
Rating
Class To From
BBB- (sf) BBB- (sf)
Targeted Return Index Securities Trust Series HY 2006-1
Rating
Class To From
Certs B+ (sf) B+ (sf)
UBS AG (London Branch)
$65 mil AMP ABX 2006-1 Ltd
Rating
Class To From
Var Notes BBB- (sf) BBB- (sf)
ANSONIA CDO: S&P Lowers Ratings on 13 Classes From 'CCC-' to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 13
classes from Ansonia CDO 2007-1 Ltd., a commercial real estate
collateralized debt obligation (CRE CDO) transaction, to 'D (sf)'
from 'CCC- (sf)'. "We subsequently withdrew all 17 outstanding
ratings on the transaction," S&P said.
The downgrades follow notice from the trustee that the liquidation
of the underlying commercial mortgage-backed security (CMBS)
collateral is completed and resulted in partial principal loss on
class A-1 and full principal losses on classes A-2 through Q.
The transaction had previously experienced an event of default
(EOD) and, subsequently, the controlling noteholders had voted to
accelerate the maturity of the notes and liquidate the collateral.
The withdrawals of the ratings on all classes reflect the
reduction of the principal balances to zero.
"Standard & Poor's analyzed the transaction in accordance with our
current criteria. Our analysis is consistent with the lowered and
withdrawn ratings," S&P related.
Ratings Lowered And Withdrawn
Ansonia CDO 2007-1 Ltd.
Rating
Class To Interim From
A-1 NR D (sf) CCC- (sf)
E NR D (sf) CCC- (sf)
F NR D (sf) CCC- (sf)
G NR D (sf) CCC- (sf)
H NR D (sf) CCC- (sf)
J NR D (sf) CCC- (sf)
K NR D (sf) CCC- (sf)
L NR D (sf) CCC- (sf)
M NR D (sf) CCC- (sf)
N NR D (sf) CCC- (sf)
O NR D (sf) CCC- (sf)
P NR D (sf) CCC- (sf)
Q NR D (sf) CCC- (sf)
Ratings Withdrawn
Ansonia CDO 2007-1 Ltd
Rating
Class To From
A2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
NR -- not rated
APIDOS CLO: S&P Gives 'BB' Rating on Class D Notes
--------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Apidos CLO VIII/Apidos CLO VIII LLC's $317.6 million
floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior-secured loans.
The preliminary ratings are based on information as of Oct. 5,
2011. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P assessment of:
The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria, (see "Update To
Global Methodologies And Assumptions For Corporate Cash Flow
And Synthetic CDOs," published Sept. 17, 2009).
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior secured term
loans.
The asset manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which we
assessed using our cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.3439% to 12.2714%," S&P related.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
Standard & Poor's 17g-7 Disclosure Report
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at
http://standardandpoorsdisclosure-17g7.com/1111185.pdf
Preliminary Ratings Assigned
Apidos CLO VIII/Apidos CLO VIII LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 231.2
A-2 AA (sf) 35.0
B-1 (deferrable) A+ (sf) 17.3
B-2 (deferrable) A (sf) 6.8
C (deferrable) BBB (sf) 14.1
D (deferrable) BB (sf) 13.2
Subordinated notes NR 34.73
NR -- Not rated.
ARBOR REALTY 2004-1: Fitch Affirms Junk Rating on Two Note Classes
------------------------------------------------------------------
Fitch Ratings has affirmed all classes of Arbor Realty Mortgage
Securities Series 2004-1, Ltd. / LLC (ARMSS 2004-1) reflecting
Fitch's base case loss expectation of 51.2%. Fitch's performance
expectation incorporates prospective views regarding commercial
real estate market values and cash flow declines.
Since last review, the class A notes have paid down by an
additional $48.5 million due to the removal of five assets,
including one loan payoff; and the amortization of several other
loans. However, the disposal of some of these assets has also
resulted in realized losses of approximately $32 million.
As of the August 2011 trustee report and per Fitch
categorizations, the collateral pool consists of 25% whole loans
and A-notes, 46% B-notes, 15% mezzanine debt, and 13% preferred
equity. An additional $4.2 million (1.2%) in principal proceeds
is held by the collateralized debt obligation (CDO) and is
expected to be used to further pay down the class A at the next
payment date. There are 2% defaulted assets and 30% Fitch loans
of concern, which are slight improvements over the totals at last
review of 4.8% and 35.1%, respectively.
ARMSS 2004-1 is managed by Arbor Realty Collateral Management,
LLC. The CDO exited its reinvestment period in April 2009. As of
the August 2011 trustee report, all par value and interest
coverage test are in compliance.
Under Fitch's surveillance methodology, approximately 80.2% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 7.9% from the most recent available cash
flows (generally year-end 2010 or trailing 12 months [TTM] first
quarter 2011). Fitch estimates that average recoveries will be
36.1%.
The largest component of Fitch's base case loss expectation is
related to a preferred equity position (11.3% of the pool) on a
230 property multifamily portfolio located across 10 states. The
senior debt is currently in special servicing. Fitch modeled a
term default and a full loss on this overleveraged position in its
base case scenario.
The next largest component of Fitch's base case loss expectation
is related to an A-note and B-note (9.5%) secured by a portfolio
of six full and limited service hotels located in Daytona Beach,
FL. The portfolio was previously in bankruptcy, and an Arbor
affiliate took title to the properties in February 2011. Fitch
modeled a term default and a substantial loss on these loan
interests in its base case scenario.
The third largest component of Fitch's base case loss expectation
is related to a B-note (6.7%) secured by a multifamily property
located in Clearwater, FL. Property performance has not improved
as expected, and the borrower has requested interest rate relief
on multiple occasions. Fitch modeled a term default and a full
loss on this position in its base case scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio (DSCR) tests to project future default
levels for the underlying portfolio. Recoveries are based on
stressed cash flows and Fitch's long-term capitalization rates.
The credit enhancement to classes A and B was then compared to the
modeled expected losses, and determined to be consistent with the
ratings assigned below. Based on prior modeling results, no
material impact was anticipated from cash flow modeling the
transaction. Class A's Rating Outlook is revised to Stable from
Negative reflecting the class's senior position in the capital
stack.
The 'CCC' ratings for classes C and D are based on a deterministic
analysis that considers Fitch's base case loss expectation for the
pool and the current percentage of defaulted assets and Fitch
Loans of Concern factoring in anticipated recoveries relative to
each class' credit enhancement. These classes were assigned
Recovery Ratings (RR) in order to provide a forward-looking
estimate of recoveries on currently distressed or defaulted
structured finance securities.
Fitch has affirmed these classes, as indicated:
-- $102.8 million class A at 'BBsf'; Outlook Stable from
Negative;
-- $51.6 million class B at 'Bsf'; Outlook Negative;
-- $27.6 million class C to 'CCCsf/RR4' from 'CCC/RR6';
-- $11.2 million class D at 'CCCsf/RR6'.
ARBOR REALTY 2005-1: Fitch Affirms Junk Rating on Two Note Classes
------------------------------------------------------------------
Fitch Ratings has affirmed all classes of Arbor Realty Mortgage
Securities Series 2005-1 Ltd. / LLC (ARMSS 2005-1) reflecting
Fitch's slightly improved base case loss expectation of 37.8%
compared to 41.2% at last review. Fitch's performance expectation
incorporates prospective views regarding commercial real estate
market values and cash flow declines.
The collateralized debt obligation (CDO) exited its reinvestment
period in April 2011. As of the August 2011 trustee report, class
A had received only minimal paydown of approximately $130,000.
Since last review, six loan interests have been removed from the
pool with five removed at no loss to the CDO; realized losses over
the period have been minimal at approximately $3.3 million.
Additionally, several loan interests were added to the CDO
resulting in built par of approximately $15 million. The CDO is
no longer under-collateralized, as at last review.
As of the August 2011 trustee report and per Fitch
categorizations, the collateral pool consists of 50% whole loans
and A-notes, 29% B-notes, 12% mezzanine debt, 7% preferred equity,
and 2% CREL CDO. There are 0.8% defaulted assets and 29.4% Fitch
loans of concern, which are improvements over the totals at last
review of 5.4% and 37.6% at last review.
ARMSS 2005-1 is managed by Arbor Realty Collateral Management,
LLC. As of the August 2011 trustee report, all par value and
interest coverage test are in compliance.
Under Fitch's surveillance methodology, approximately 72.8% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 7.6% from the most recent available cash
flows (generally year-end 2010 or trailing 12 months [TTM] first
quarter 2011). Fitch estimates that average recoveries will be
better than average at 48% due to the significant portion of
senior debt in the pool.
The largest component of Fitch's base case loss expectation is
related to a B-note (5.4% of pool) secured by a large office
building located in downtown St. Louis, MO. While the property
currently supports debt service; it is not expected to once
amortization begins in early 2012. Fitch modeled a term default
and a full loss on this overleveraged position in its base case
scenario.
The next largest component of Fitch's base case loss expectation
is related to a preferred equity position (4.1%) on a 230 property
multifamily portfolio located across 10 states. The senior debt
is currently in special servicing. Fitch modeled a term default
and a full loss on this overleveraged position in its base case
scenario.
The third largest component of Fitch's base case loss expectation
is related to a B-note (3.8%) secured by a seven property
multifamily portfolio located in three southeastern states. The
loan, which was previously defaulted, has been restructured, and
is now owned by an Arbor affiliate. Fitch modeled a term default
with a full loss in it base case scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio (DSCR) tests to project future default
levels for the underlying portfolio. Recoveries are based on
stressed cash flows and Fitch's long-term capitalization rates.
The default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs'.
Based on this analysis, the breakeven rates for classes A-1
through F are generally consistent with the ratings assigned
below. Stable Rating Outlooks are assigned to classes A-1 through
B reflecting their senior position in the capital structure and
adequate cushion in the cash flow modeling. Class C through F
maintain a Negative Rating Outlook reflecting Fitch's expectation
of further potential negative credit migration of the underlying
collateral.
The 'CCC' ratings for classes G and H are based on a deterministic
analysis that considers Fitch's base case loss expectation for the
pool and the current percentage of defaulted assets and Fitch
Loans of Concern factoring in anticipated recoveries relative to
each class' credit enhancement. These classes were assigned
Recovery Ratings (RR) in order to provide a forward-looking
estimate of recoveries on currently distressed or defaulted
structured finance securities.
Fitch has affirmed these classes, as indicated:
-- $161.4 million class A-1 at 'BBBsf'; Outlook Stable;
-- $40.4 million class A-2 at 'BBBsf'; Outlook Stable from
Negative;
-- $57 million class B at 'BBsf'; Outlook Stable from Negative;
-- $22.5 million class C at 'BBsf'; Outlook Negative;
-- $7.7 million class D at 'BBsf'; Outlook Negative;
-- $6.8 million class E at 'BBsf'; Outlook Negative;
-- $13.3 million class F at 'Bsf'; Outlook Negative;
-- $9.9 million class G to 'CCCsf/RR4' from 'CCCsf/RR5';
-- $13.5 million class H at 'CCCsf/RR6'.
BANC OF AMERICA: Fitch Affirms Junk Rating on Six Cert. Classes
---------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Banc of America
Commercial Mortgage Inc. (BACM), series 2003-2 commercial mortgage
pass-through certificates.
The affirmations are due to sufficient credit enhancement after
consideration for both defeased loans and expected losses on
specially serviced loans. Fitch expects modeled losses to be 3.5%
and cumulative transaction losses to be 3.9% which includes losses
realized to date. Fitch expects losses on specially serviced
loans to affect classes L, M, N, O and non-rated class P. As of
September 2011, there are cumulative interest shortfalls in the
amount of $5.5 million currently affecting classes J, K, L, M, N,
O and non-rated class P.
As of the September 2011 distribution date, the pool's aggregate
principal balance has been paid down by 26.7% to $1.29 billion
from $1.77 billion at issuance.
Fitch has identified 16 loans (11.3%) as Fitch Loans of Concern,
which includes five loans (3.7%) in special servicing. There are
25 defeased loans (31.0%) in the pool.
The largest contributor to losses is a 561-unit multifamily
property in Irving, TX that is real estate owned (REO). The asset
was foreclosed upon in January 2009 and was marketed for sale. The
property is under contract for sale and is expected to close in
early October.
The second largest contributor to losses is a 384-unit mobile home
park in Rockford, IL that is REO. The asset was foreclosed upon
in February 2010 and was marketed for sale. The property is under
contract for sale and is expected to close in late October.
The Hines Sumitomo portfolio, the largest loan in the pool, is
secured by three office properties, two of which are located in
Manhattan, NY and the third in Washington, DC. The 425 Lexington
Avenue building in New York is fully occupied. The 499 Park
Avenue building in New York is 94% occupied and the 1200
Nineteenth Avenue building in Washington, DC is 83% occupied.
Total portfolio occupancy is 94%.
Fitch affirms and revises the Outlook on these classes as
indicated:
-- $284.4 million class A-1A at 'AAAsf'; Outlook Stable;
-- $167.1 million class A-3 at 'AAAsf'; Outlook Stable;
-- $482.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $56.7 million class B at 'AAAsf'; Outlook Stable;
-- $21 million class C at 'AAAsf'; Outlook Stable;
-- $44.1 million class D at 'AAAsf'; Outlook to Stable from
Negative;
-- $23.1 million class E at 'AAsf'; Outlook to Stable from
Negative;
-- $21 million class F at 'Asf'; Outlook to Stable from
Negative;
-- $23.1 million class G at 'BBsf'; Outlook to Stable from
Negative;
-- $21 million class H at 'Bsf'; Outlook Negative;
-- $18.9 million class J at 'CCCsf/RR1';
-- $10.5 million class K at 'CCsf/RR6';
-- $10.5 million class L at 'Csf/RR6';
-- $8.4 million class M at 'Csf/RR6';
-- $8.4 million class N at 'Csf/RR6';
-- $4.2 million class O at 'Csf/RR6'.
Fitch previously withdrew the ratings of the interest only classes
X-C and X-P.
The underlying collateral for the BW-A, BW-B, BW-C, BW-D, BW-E,
BW-F, BW-G, BW-H, BW-J, BW-K and BW-L rake classes is the 1328
Broadway loan which is a retail property located in Manhattan, New
York. Fitch affirms the classes at 'AAAsf' with a Stable Outlook
as the loan has fully defeased.
Fitch does not rate classes P, HS-A, HS-B, HS-C, HS-D and HS-E.
Classes A-1 and A-2 have paid in full.
BEAR STEARNS: Fitch Affirms Junk Rating on Nine Cert. Classes
-------------------------------------------------------------
Fitch Ratings has affirmed nine investment grade rated classes of
Bear Stearns Commercial Mortgage Securities Trust's commercial
mortgage pass-through certificates, series 2007-TOP28 and
downgraded one impaired class.
Fitch has also downgraded class E, reflecting greater certainty of
Fitch expected losses on specially serviced loans as a result of
updated property values. Fitch modeled losses decreased from
Fitch's last formal review of 5.76% to 5.45% of the remaining
pool. Fitch designated 36 loans (17.1%) as Fitch Loans of
Concern, which include six specially serviced loans (1.55%).
As of the September 2011 distribution date, the pool's aggregate
principal balance has been reduced by 4.99% (including 0.57% of
realized losses) to $1.67 billion from $1.76 billion at issuance.
Interest shortfalls are affecting classes O and P.
The largest specially-serviced loan in the pool (0.41%) is secured
by a retail center located in Fort Myers, FL. The loan
transferred to special servicing in October 2010 and is currently
90 days past due. The special servicer is currently pursuing
foreclosure. Fitch expects losses upon liquidation of the asset
based on several recent valuations.
The second-largest specially-serviced loan in the pool (0.38%) is
secured by a retail center located in Everett, WA. The loan
transferred to special servicing in August 2011 and is currently
60 days past due. The borrower claims cash flow from the property
is insufficient to service the debt due to occupancy declines.
The special servicer is currently in modification discussions with
the borrower.
The third largest specially serviced loan in the pool (0.27%) is
secured by a retail center located in Lakewood, CO. The loan
transferred to special servicing in July 2011 for imminent
default. The loan is current and the special servicer is currently
in modification discussions with the borrower.
Fitch downgrades the following class:
-- $22 million class E to 'CCCsf/RR1' from 'B-sf'.
In addition, Fitch affirms these classes:
-- $3.3 million class A-1 at 'AAAsf'; Outlook Stable;
-- $63.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $79.8 million class A-3 at 'AAAsf'; Outlook Stable;
-- $76.4 million class A-AB at 'AAAsf'; Outlook Stable;
-- $841.7 million class A-4 at 'AAAsf'; Outlook Stable;
-- $143.5 million class A-1A at 'AAAsf'; Outlook Stable;
-- $176.1 million class A-M at 'AAAsf'; Outlook Stable;
-- $114.5 million class A-J at 'Asf'; Outlook Stable;
-- $30.8 million class B at 'BBB-sf'; Outlook Stable;
-- $15.4 million class C at 'BBsf'; Outlook Stable;
-- $28.6 million class D at 'Bsf'; Outlook Stable;
-- $17.6 million class F at 'CCCsf/RR1';
-- $19.8 million class G at 'CCCsf/RR1';
-- $15.4 million class H at 'CCCsf/RR1';
-- $2.2 million class J at 'CCCsf/RR1';
-- $2.2 million class K at 'CCCsf/RR1';
-- $2.2 million class L at 'CCCsf/RR1';
-- $4.4 million class M at 'CCsf/RR1';
-- $4.4 million class N at 'CCsf/RR1';
-- $2.2 million class O at 'Csf/RR3'.
Fitch does not rate class P. The ratings on classes X-1 and X-2
were previously withdrawn.
BEAR STEARNS: S&P Lowers Ratings on 7 Classes of to 'D'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on
15 classes of commercial mortgage pass-through certificates from
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12, a
U.S. commercial mortgage-backed securities (CMBS) transaction.
"Concurrently, we affirmed our 'AAA (sf)' ratings on six other
classes from the same transaction," S&P said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. The
downgrades reflect credit support erosion that we anticipate will
occur upon the resolution of 10 ($181.9 million, 9.5%) of the 11
loans ($184.0 million, 9.6%) that are currently with the special
servicer and one additional loan ($3.1 million, 0.2%) that we
determined to be credit-impaired. We also considered the monthly
interest shortfalls affecting the trust. We lowered our ratings to
'D (sf)' on the class H, J, K, L, M, N, and O certificates because
we believe the accumulated interest shortfalls will remain
outstanding for the foreseeable future," S&P stated.
"The rating affirmations on the principal and interest
certificates reflect subordination and liquidity support levels
that we consider to be consistent with our outstanding ratings on
these classes. We affirmed our 'AAA (sf)' rating on the class X
interest-only (IO) certificate based on our current criteria," S&P
said.
"Our analysis included a review of the credit characteristics
of the remaining loans in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.34x and a loan-to-value (LTV) ratio of 106.3%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted-average DSC of 0.93x and an LTV ratio of
143.1%. The implied defaults and loss severity under the 'AAA'
scenario were 78.8% and 38.9%, respectively. The DSC and LTV
calculations noted exclude 10 ($181.9 million, 9.5%) of the 11
loans ($184.0 million, 9.6%) that are currently with the special
servicer and one ($3.1 million, 0.2%) loan that we determined
to be credit-impaired. We separately estimated losses for the
excluded specially serviced and credit-impaired loans and included
them in our 'AAA' scenario implied default and loss severity
figures," S&P said.
As of the Sept. 12, 2011 trustee remittance report, the trust
experienced monthly interest shortfalls totaling $148,767. The
interest shortfalls were primarily due to appraisal subordinate
entitlement reduction (ASER) amounts totaling $109,242 and special
servicing fees of $39,524. The class H, J, K, L, M, N, and O
certificates have experienced cumulative interest shortfalls
ranging from three to 11 consecutive months and are expected to
remain outstanding for the foreseeable future. "Consequently, we
downgraded these classes to 'D (sf)'," S&P said.
Credit Considerations
As of the Sept. 12, 2011, trustee remittance report, 10 loans
($181.9 million, 9.5%) in the pool were with the special servicer,
C-III Asset Management LLC (C-III). The reported payment status of
the specially serviced assets is: nine are 90-plus-days delinquent
($175.6 million, 9.2%) and one loan is less than 30 days
delinquent ($6.3 million, 0.3%). Appraisal reduction amounts
(ARAs) totaling $46.8 million are in effect against the 10
specially serviced loans. Details on the five largest loans with
the special servicer, three of which are top 10 loans, are:
The Tower at Erieview loan ($42.8 million, 2.2%) is the largest
specially serviced loan and the sixth-largest loan in the pool.
The loan was transferred to special servicing on May 4, 2010, due
to imminent payment default. The loan is secured by a 703,205-sq.-
ft., 40-story office tower in downtown Cleveland. The loan's
reported payment status is 90-plus-days delinquent. An ARA of
$11.4 million is in effect for this loan. According to C-III, the
borrower has requested a loan modification. "Recent financial
information is not available for this loan and we anticipate a
moderate loss upon the eventual resolution of this loan," S&P
said.
The second-largest specially serviced loan, the Embassy Office
Park - Pool A loan ({Pool A}, $35.3 million, 1.8%), and the
fourth-largest specially serviced loan, the Embassy Office Park -
Pool B loan ({Pool B}, $27.8 million, 1.5%), represent the
seventh- and 11th-largest loans in the pool. These two loans were
transferred to special servicing on April 8, 2011, due to payment
default. The Pool A loan is secured by a portfolio of five office
properties totaling 304,416 sq. ft. in Fairlawn, Ohio. The Pool B
loan is secured by a portfolio of five office properties totaling
222,509 sq. ft. in Fairlawn and Green, Ohio. The reported payment
status for both loans is 90-plus-days delinquent. C-III is
currently reviewing various workout strategies for the two loans.
As of Dec. 31, 2010, DSC was reported as 0.80x for the Pool A
loan and as 0.90x for the Pool B loan. "ARAs of $8.8 million and
$7.0 million are in effect for the Pool A and Pool B loans,
respectively, and we anticipate a significant loss upon the
eventual resolution of these two loans," S&P related.
The Titan Portfolio loan ($29.7 million, 1.6%) is the third-
largest specially serviced loan and the 10th-largest loan in the
pool. The loan was transferred to special servicing on Aug. 11,
2010, due to payment default. The loan's reported payment status
is 90-plus-days delinquent. The loan is secured by a portfolio
of four industrial properties totaling 750,732 sq. ft. in Texas
and New Mexico. C-III indicated that it is proceeding with
foreclosure. Recent financial information is not available for
this loan. "An ARA of $7.5 million is in effect against this loan
and we anticipate a moderate loss upon the eventual resolution of
this loan," S&P said.
The Gwinnett Regional Distribution center loan ($22.9 million,
1.2%) is the fifth-largest specially serviced loan and the 14th-
largest loan in the pool. The loan was transferred to special
servicing on July 27, 2010, due to imminent payment default. The
loan's reported payment status is 90-plus-days delinquent. Recent
financial information is not available for this loan. "The
loan is secured by a 1,054,500-sq.-ft. industrial/warehouse
building in Duluth, Ga., in the Atlanta metropolitan area.
According to C-III, the borrower has requested a loan
modification. An ARA of $4.4 million is in effect against this
loan and we anticipate a moderate loss upon the eventual
resolution of this loan," S&P said.
The remaining five specially serviced loans have individual
balances that represent less than 0.4% of the total pool balance.
ARAs totaling $7.7 million were in effect against these five
remaining specially serviced loans. Standard & Poor's estimated
losses for these five specially serviced loans represent a
42.3% weighted-average loss severity.
"It is our understanding from a conversation with the master
servicer, Well Fargo Bank N.A., that, subsequent to the Sept. 12,
2011 trustee remittance report, the 5075 Cameron Street Industrial
Building ($2.1 million, 0.1%) loan (which had been on the combined
master servicers' watchlist due to a decline in DSC) was
transferred to special servicing on Sept. 15, 2011, because the
loan's payment status was 60 days delinquent. This loan is secured
by a 29,940-sq.-ft. industrial building in Las Vegas.
"In addition to the specially serviced loans, we determined one
loan in the pool to be credit-impaired. The Albany Industrial Park
loan ($3.1 million, 0.2%) is secured by an 89,821-sq.-ft.
industrial building located in North Las Vegas. The loan appears
on the master servicers' combined watchlist due to a decline in
DSC. The loan's reported payment status is 60-plus-days
delinquent. As of Dec. 31, 2010, the reported DSC and occupancy
were 0.63x and 70.0%. Given the reported poor performance and
payment delinquency, we consider this loan to be at an increased
risk of default and loss," S&P said.
Transaction Summary
As of the Sept. 12, 2011, trustee remittance report, the
collateral pool balance was $1.91 billion or 91.7% of the balance
at issuance. The pool includes 200 loans, down from 213 loans at
issuance. The master servicers, Prudential Asset Resources Inc.
and Wells Fargo Bank N.A., provided financial information for
99.9% of the loan balance, 87.3% of which was interim- or full-
year 2010 data, and the remainder reflected full-year 2009 or
interim-2011 data.
"We calculated a weighted average DSC of 1.29x for the
loans in the pool based on the servicer-reported figures.
Our adjusted DSC and LTV ratio were 1.34x and 106.3%. Our
adjusted DSC and LTV figures exclude 10 of the 11 specially
serviced loans and one loan that we determined to be credit-
impaired. If we include the specially serviced and credit-
impaired loans, the adjusted DSC and LTV ratio would be 1.31x
and 109.4%. Our adjusted figures include a projected increase
in rental income for the 1675 Broadway loan ($154.6 million,
8.1%), the largest loan in the pool, due to a rent step up for
the largest tenant in this property. The transaction has
experienced $22.9 million in principal losses to date. Sixty-two
loans ($524.8 million, 27.5%) in the pool are on the master
servicers' combined watchlist, including the second-largest loan
($151.6 million, 8.0%) and eighth-largest loan ($30.6 million,
1.6%) in the pool. Sixty-one loans ($691.0 million, 36.3%) have a
reported DSC of less than 1.10x, 48 of which ($394.2 million,
20.7%) have reported a DSC below 1.00x," S&P said.
Summary Of The Top 10 Loans
The top 10 loans have an aggregate outstanding balance of
$652.8 million (34.2%). "Using servicer-reported numbers, we
calculated a weighted average DSC of 1.25x for the top 10 loans.
Our adjusted DSC and LTV ratio for the top 10 loans were 1.36x
and 101.8%. Our adjusted figures exclude the sixth-, seventh-,
and 10th-largest loans, which are with the special servicer. If
we included the specially serviced and credit-impaired loans,
the adjusted DSC and LTV ratio would be 1.29x and 107.0%,
respectively. Our adjusted figures include a projected increase
in rental income for the 1675 Broadway loan ($154.6 million,
8.1%), the largest loan in the pool, due to a rent step up for
the largest tenant in this property. The second-largest and
eighth-largest loans in the pool are on the master servicers'
combined watchlist," S&P said.
The Woodland Mall loan ($151.6 million, 8.0%) is the second-
largest loan in the pool and is secured by 433,785 sq. ft. of a
1.3 million- sq.-ft. retail mall in Grand Rapids, Mich. The loan
was placed on master servicers' combined watchlist due to a
decline in DSC. While the reported occupancy remained stable at
89.7% as of March 31, 2011, and Dec. 31. 2010, the servicer-
reported DSC had declined to 1.09x for these two reporting periods
from 1.22x as of Dec. 31, 2009, due to higher reported operating
expenses.
The Stone Mountain Square loan ($30.6 million, 1.6%) is the
eighth-largest loan in the pool and is secured by a 336,663-sq.-
ft. retail shopping center in Stone Mountain, Ga., about 15 miles
east of Atlanta. The loan was placed on the master servicers'
combined watchlist due to a decline in DSC. The servicer-reported
DSC was 1.02x and occupancy was 71.0% as of Dec. 31, 2010.
Standard & Poor's stressed the loans in the pool according to its
current criteria. "The resultant credit enhancement levels are
consistent with our rating actions," S&P said.
Ratings Lowered
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M A- (sf) A (sf) 20.62
A-J BB+ (sf) BBB+ (sf) 12.16
B BB- (sf) BBB (sf) 9.85
C B+ (sf) BBB- (sf) 8.89
D B (sf) BB+ (sf) 7.12
E B- (sf) BB (sf) 6.03
F CCC+ (sf) BB- (sf) 4.66
G CCC- (sf) B+ (sf) 3.57
H D (sf) B (sf) 2.21
J D (sf) B (sf) 1.80
K D (sf) B- (sf) 1.39
L D (sf) B- (sf) 0.98
M D (sf) CCC+ (sf) 0.71
N D (sf) CCC (sf) 0.44
O D (sf) CCC- (sf) 0.16
Ratings Affirmed
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 31.53
A-3 AAA (sf) 31.53
A-AB AAA (sf) 31.53
A-4 AAA (sf) 31.53
A-1A AAA (sf) 31.53
X AAA (sf) N/A
N/A -- Not applicable.
BMI CLO: S&P Affirms Class D Floating-Rate Notes Rating at 'BB'
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on BMI
CLO I/BMI CLO I Corp.'s $366.0 million floating-rate notes
following the transaction's effective date as of Aug. 11, 2011.
Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral.
On the closing date, the collateral manager typically covenants to
purchase the remaining collateral within the guidelines specified
in the transaction documents to reach the target level of
portfolio collateral. Typically, the CLO transaction documents
specify a date by which the targeted level of portfolio collateral
must be reached. The "effective date" for a CLO transaction is
usually the earlier of the date on which the transaction
acquires the target level of portfolio collateral, or the date
defined in the transaction documents. Most transaction documents
contain provisions directing the trustee to request the rating
agencies that have issued ratings upon closing to affirm the
ratings issued on the closing date after reviewing the effective
date portfolio (typically referred to as an "effective date rating
affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P stated.
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee. (For more information on our criteria and our
analytical tools, see 'Update To Global Methodologies And
Assumptions For Corporate Cash Flow And Synthetic CDOs,' published
Sept. 17, 2009.)," S&P stated.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," S&P stated.
Ratings Affirmed
BMI CLO I/BMI CLO I Corp.
Class Rating Amount (mil. $)
A-1 AAA (sf) 259
A-2 AA (sf) 27
B (deferrable) A (sf) 35
C (deferrable) BBB (sf) 22
D (deferrable) BB (sf) 23
BRENTWOOD CLO: S&P Raises Rating on Class D Notes to 'BB-'
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2, B, C, and D notes from Brentwood CLO Ltd., a collateralized
loan obligation (CLO) transaction managed by Highland Capital
Management L.P. "At the same time, we removed our ratings on the
class A-1A, A-1B, and A-2 notes from CreditWatch, where we placed
them with positive implications on June 17, 2011. Concurrently, we
affirmed our ratings on the class A-1A and A-1B notes," S&P
stated.
"The upgrades mainly reflect an improvement in the
overcollateralization (O/C) available to support the notes since
Feb. 8, 2010, when we downgraded all of the notes following the
application of our September 2009 corporate collateralized debt
obligation (CDO) criteria. Since that time, the class A-1A and A-
1B notes received a total of approximately $30.5 million in
payments, which has reduced the notes' outstanding balance to
90.24% of their original issuance, slightly deleveraging the
transaction. We attribute these paydowns to previous failures of
the transaction's O/C tests," S&P said. The trustee reported these
O/C ratios in the Aug. 31, 2011, monthly report:
The class A O/C ratio was 128.68%, compared with a reported
ratio of 117.86% in November 2009;
The class B O/C ratio was 112.29%, compared with a reported
ratio of 103.65% in November 2009;
The class C O/C ratio was 107.54%, compared with a reported
ratio of 99.49% in November 2009; and
The class D O/C ratio was 104.18%, compared with a reported
ratio of 96.48% in November 2009.
The transaction has also benefited from an improvement in the
performance of the transaction's underlying asset portfolio.
"As of the August 2011 trustee report, the transaction had
$42.3 million of defaulted assets. This was down from the
$96.8 million defaulted assets noted in the November 2009 trustee
report, which we referenced for our February 2010 rating actions.
Furthermore, the trustee reported $74.8 million in assets from
obligors rated in the 'CCC' category in August 2011, compared with
$123.4 million in November 2009," S&P stated.
The affirmations of the class A-1A and A-1B notes reflect the
availability of credit support at the current rating levels.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
Rating and Creditwatch Actions
Brentwood CLO Ltd.
Rating
Class To From
A-1A AA+ (sf) AA+ (sf)/Watch Pos
A-1B AA+ (sf) AA+ (sf)/Watch Pos
A-2 AA (sf) AA- (sf)/Watch Pos
B BBB (sf) BB+ (sf)
C BB+ (sf) B+ (sf)
D BB- (sf) CCC- (sf)
Transaction Information
Issuer: Brentwood CLO Ltd.
Coissuer: Brentwood CLO Corp.
Collateral manager: Highland Capital Management L.P.
Underwriter: Banc of America Securities LLC
Trustee: State Street Bank and Trust Co.,
Boston, MA
Transaction type: Cash flow CLO
BSDB 2005-AFR1: Moody's Affirms Rating of Class D Notes at 'Ba1'
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of one class and
affirmed nine classes of BSDB 2005-AFR1 Trust Commercial Mortgage
Pass-Through Certificates, Series 2005-AFR1:
Cl. A-1, Affirmed at Aaa (sf); previously on Sep 4, 2008 Confirmed
at Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on Sep 4, 2008 Confirmed
at Aaa (sf)
Cl. X, Affirmed at Aaa (sf); previously on Feb 6, 2006 Definitive
Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at Aa2 (sf); previously on Dec 17, 2010
Downgraded to Aa2 (sf)
Cl. B, Affirmed at Baa1 (sf); previously on Dec 17, 2010
Downgraded to Baa1 (sf)
Cl. C, Affirmed at Baa3 (sf); previously on Dec 17, 2010
Downgraded to Baa3 (sf)
Cl. D, Affirmed at Ba1 (sf); previously on Dec 17, 2010 Downgraded
to Ba1 (sf)
Cl. E, Affirmed at Ba2 (sf); previously on Dec 17, 2010 Downgraded
to Ba2 (sf)
Cl. F, Affirmed at Ba3 (sf); previously on Dec 17, 2010 Downgraded
to Ba3 (sf)
Cl. G, Downgraded to B2 (sf); previously on Dec 17, 2010
Downgraded to B1 (sf)
RATINGS RATIONALE
The downgrade was due to the increase in the portfolio's vacancy
rate; the general poor performance of real estate in tertiary
markets; and the downgrade of the senior unsecured rating of the
principal tenant, Bank of America, N.A., to A2; negative outlook
from Aa3. Moody's is concerned with the pace of the global
economic recovery and Bank of America's recent announcement that
it is considering eliminating a significant number of jobs as part
of its restructuring. Moody's expects vacancy to remain elevated
in the foreseeable future as Bank of America, N.A. exercises its
remaining cancellation options and leasing activity remains
lackluster. The affirmations were due to key parameters, including
Moody's loan to value (LTV) ratio remaining within an acceptable
range.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the
previous review. Even so, deviation from the expected range will
not necessarily result in a rating action. There may be mitigating
or offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses. This action concludes Moody's review of this
transaction.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current sluggish macroeconomic environment and performance
in the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors are
tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. The availability of debt capital continues to improve
with terms returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.2. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior review is
summarized in a press release dated December 17, 2010.
DEAL PERFORMANCE
As of the September 15, 2011 Payment Date, the transaction's
aggregate certificate balance has decreased by 16% to
$256.1 million from $304.0 million at securitization from
scheduled principal amortization payments. The Certificates are
collateralized by a single mortgage loan. The mortgage loan is
secured by 138 commercial properties consisting of retail bank
branches, offices and bank operations centers totaling
approximately 4.0 million square feet of net rentable area (NRA).
Additionally, 73 properties have been released from the mortgage
lien and substituted with approximately $49 million in defeasance
collateral.
Bank of America, N.A. (BOA), senior unsecured rating A2; negative
outlook, leases approximately 70% of the non-defeased collateral
under a master lease expiring in September 2019 and its base rent
accounts for approximately 78% of the total non-defeased base
rent. BOA has lease cancellation options to periodically vacate a
total of 682,860 square feet of the 4.1 million square feet it
leased at securitization. To date BOA has cancelled 526,954 square
feet, leaving an additional 16,531square feet that can be
cancelled prior to 2013 and 139,375 square feet that can be
cancelled after 2013.
As of July 2011 third party tenancy leased approximately 401,765
square feet, resulting in an occupancy rate of approximately 80%
for the non-defeased real estate collateral, compared to 84% at
Moody's last review when third party tenants occupied
approximately 540,597 square feet. Approximately 73% of the
138,832 square feet reduction in third party tenancy is
attributable to two tenants who vacated when their leases expired
in the first quarter of 2011.
Moody's weighted average pooled loan to value (LTV) ratio is 120%,
compared to 121% at last review. Moody's stressed debt service
coverage ratio (DSCR) is 0.81x, the same as at last review.
Moody's current credit estimate is B2.
CAPITAL TRUSTE: Fitch Affirms Junk Ratings on Eight Note Classes
----------------------------------------------------------------
Fitch Ratings affirms all classes of Capital Trust RE CDO 2005-1
(CT 2005-1) as Fitch's loss expectations have not changed
materially from its December 2010 review. The current base case
loss expectation is 51.9%, compared with 45.9% at the last rating
action. Fitch's performance expectation incorporates prospective
views regarding commercial real estate market value and cash flow
declines.
The transaction is primarily collateralized by subordinate
commercial real estate debt (58.1% of total collateral is either
B-notes or mezzanine loans) and CMBS certificates (40.3%). Fitch
expects significant losses upon default for these assets since
they are generally highly leveraged, thin debt classes. Four
commercial real estate (CRE) assets (8.1%) are currently
defaulted.
Both the A/B and the C/D/E overcollateralization (OC) tests remain
breached. As a result, classes C and below continue to not
receive any proceeds as of the August 2011 trustee report. All
excess interest proceeds (after class B) and any principal
proceeds are currently being redirected to redeem the class A
notes. Given its expectations of further defaults, Fitch
considers it unlikely that classes below the C/D/E OC test will
receive any further proceeds over the life of the transaction.
Under Fitch's updated methodology, approximately 56.3% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 9.9%, generally from year-end 2010 cash
flows, and in some cases, derived from recent value estimates.
Fitch estimates that average recoveries will be low at 7.8%, due
to the highly leveraged and subordinate nature of a majority of
the assets.
The three largest components of Fitch's base case loss expectation
are B-notes (7.7%) secured by properties which have experienced
declines in performance and value since issuance. Given the
positions of these B-notes within each respective loan's capital
structure, significant losses are likely given the inability to
refinance the debt at these leverage points.
CT 2005-1 is a CRE collateralized debt obligation (CDO) managed by
CT Investment Management Co., LLC (CTIMCO). The transaction had a
five-year reinvestment period which ended in April 2010. As of
the August 2011 trustee report and per Fitch categorizations, the
CDO was invested as follows: B-notes (49.5%), CRE mezzanine loans
(8.6%), commercial mortgage-backed securities (CMBS; 33.2%), real
estate bank loans (1.2%), and three classes of a CRE CDO (7.0%).
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio (DSCR) tests to project future default
levels for the underlying portfolio. Recoveries are based on
stressed cash flows and Fitch's long-term capitalization rates.
The ratings are based on a deterministic analysis which considers
Fitch's base case loss expectation for the pool and the current
percentage of defaulted assets factoring in anticipated recoveries
relative to each class's credit enhancement, as well as the
likelihood for OC tests to cure.
Fitch affirms the following classes:
-- $118.5 million class A at 'CCCsf/RR2';
-- $36.3 million class B at 'CCsf/RR6';
-- $21.1 million class C at 'Csf/RR6';
-- $14.4 million class D at 'Csf/RR6';
-- $15.2 million class E at 'Csf/RR6';
-- $6.8 million class F at 'Csf/RR6';
-- $6.8 million class G at 'Csf/RR6';
-- $10.1 million class H at 'Csf/RR6'.
CAPITAL TRUST: Fitch Affirms Junk Rating on Six Note Classes
------------------------------------------------------------
Fitch Ratings affirms all classes of Capital Trust RE CDO 2004-1
(CT 2004-1) as Fitch's loss expectations have not changed
materially from its November 2010 review. The current base case
loss expectation is 39.4%, compared with 38.9% from the last
rating action. Fitch's performance expectation incorporates
prospective views regarding commercial real estate (CRE) market
value and cash flow declines.
CT 2004-1 is a CRE collateralized debt obligation (CDO) managed by
CT Investment Management Co., LLC (CTIMCO). The transaction had a
five-year reinvestment period which ended July 2008. As of the
August 2011 trustee report, the CDO was invested as follows: B-
notes (61.6%), principal cash (19.3%), commercial mortgage-backed
securities (CMBS; 10.6%), and a defeased CRE loan (8.5%). Since
Fitch's last review, the capital structure has paid down by
$59.1 million (18.2%). Realized losses remain at approximately
$15.1 million (4.7%).
The transaction is primarily collateralized by subordinate CRE
debt, with over 60% of the total collateral comprising B-notes.
Losses are possible upon default for these assets, since they are
generally highly leveraged, thin debt positions. Further, five
assets (25%) are currently defaulted, all of which are B-notes.
Fitch expects high loss severities on these defaulted assets.
The class C/D/E overcollateralization (OC) test remains breached,
and classes C and below continue to not receive any proceeds. All
excess interest proceeds (after class B) and any principal
proceeds are currently being redirected to redeem the class A-2
notes. Given the expectations of further defaults, it is possible
that classes below the C/D/E OC test will not receive any further
proceeds over the life of the transaction.
Under Fitch's updated methodology, approximately 54.7% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is approximately 8%, generally from year-end
2010 cash flows, and in some cases, derived from recent value
estimates. Fitch estimates that average recoveries will be
approximately 28%, due to the highly leveraged and subordinate
nature of a majority of the assets.
The largest component of Fitch's base case loss expectation is a
B-note (9.2%) that defaulted on its maturity date in October 2009.
The loan, which is in special servicing, is secured by a class 'B'
office park totaling 374,139 square feet (sf) located in Silicon
Valley in the city of Menlo Park, CA. The property has
experienced a significant decrease in occupancy. The special
servicer is working to stabilize the property, and while recent
cash flow indicates high losses, Fitch considered an appraisal
from late-2010 in its determination of stressed value.
The next largest component of Fitch's base case loss expectation
is a B-note (4%) that became delinquent in July 2009. The loan is
secured by three casino/hotel properties located in Atlantic City,
NJ; Robinsonville, MS; and Tunica, MS. The loan transferred to
special servicing on July 23, 2009 due to monetary default as a
result of a significant cash flow decline from the prior year.
Performance of the assets remains well below expectations from
issuance, and Fitch modeled full losses in its base case scenario.
The third largest component of Fitch's base case loss expectation
is a B-note secured by a 1,310-key hotel located in Honolulu, HI.
The property is located along Kalakaua Avenue directly across from
Waikiki Beach. The property has not met stabilized projections
from issuance. Fitch modeled a significant loss in its base case
scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio (DSCR) tests to project future default
levels for the underlying portfolio. Recoveries are based on
stressed cash flows and Fitch's long-term capitalization rates.
Based on prior modeling results, no material impact was
anticipated from cash flow modeling the transaction. The Rating
Outlooks for classes A-2 and B were revised to Stable, reflecting
the classes' senior positions in the capital stack. Class A-1 has
paid in full.
The ratings for classes C through G are based on a deterministic
analysis which considers Fitch's base case loss expectation for
the pool and the current percentage of defaulted assets factoring
in anticipated recoveries relative to each class's credit
enhancement. These classes were assigned Recovery Ratings (RR) in
order to provide a forward-looking estimate of recoveries on
currently distressed or defaulted structured finance securities.
Fitch affirms the following classes and revises the Rating
Outlooks as indicated:
-- $72,896,760 class A-2 at 'BBsf'; Outlook to Stable from
Negative;
-- $29,167,000 class B at 'Bsf'; Outlook to Stable from
Negative;
-- $19,444,000 class C at 'CCsf/RR5';
-- $21,065,000 class D at 'Csf/RR6';
-- $3,241,000 class E at 'Csf/RR6';
-- $6,481,000 class F at 'Csf/RR6;
-- $16,204,000 class G at 'Csf/RR6'.
CAPITALSOURCE COMM: Fitch Holds Rating on $14MM Notes at 'CCCsf'
----------------------------------------------------------------
Fitch Ratings has affirmed these classes of notes issued by
CapitalSource Commercial Loan Trust 2006-1 (CapitalSource CLT
2006-1):
-- $11,808,005 class C notes 'BBBsf'; Outlook Stable;
-- $24,371,449 class D notes 'Bsf'; Outlook Negative;
-- $14,442,033 class E notes 'CCCsf/RR1'.
The affirmations are based on the stable performance of the
transaction since Fitch's last rating action in October 2010.
Since that time, the remaining classes of notes have benefited
from increases of credit enhancement due to the $22.7 million of
amortization that has occurred in the underlying loan portfolio.
The portfolio has grown heavily concentrated in approximately
$66.9 million in loans from 10 obligors. In addition, one loan
was partially charged off, while another was reported as
delinquent, both totaling approximately 9.4% of the outstanding
loan balance, as of the September 2011 report. Fitch considers
the portfolio to be primarily concentrated in low-rated obligors,
carrying a weighted average rating in the 'CCC' category.
Through a combination of loan repayments and the diversion of
excess spread to pay note principal, the class A and class B notes
have been paid in full and approximately 82.8% of the original
class C balance has been paid. Fitch maintains a Stable Rating
Outlook on the note because they are well-positioned to withstand
future credit deterioration in the portfolio due to their
seniority and the credit enhancement available to these notes.
Fitch estimates that the notes could withstand over 75% in
portfolio losses before experiencing payment default.
Fitch maintains a Negative Rating Outlook on the class D notes due
to the high degree of obligor concentration and the risky
characteristics of the underlying portfolio. Fitch considers
approximately $60.6 million loans from eight obligors as
performing loans, with one loan comprising almost 50% of the
performing balance. Fitch also viewed 82.2% of the performing
portfolio as 'CCC', partly due to the lack of credit opinions on
21.3% of the portfolio. All the loans in the performing portfolio
are senior secured loans, however, indicating strong recovery
prospects upon default.
The notes of CapitalSource CLT 2006-1 benefit from credit
enhancement in the form of collateral coverage, note
subordination, and the application of excess spread to repay note
principal. The transaction is structured to maintain 100%
collateralization of the outstanding liabilities. Upon the
occurrence of a charge-off in the portfolio, the payment waterfall
directs combined interest and principal proceeds otherwise
available to the equity to pay down the senior-most notes in an
amount equal to the charged-off balance. The transaction is
currently 100% collateralized, allowing the equity to receive
distributions.
The class E notes maintain their Recovery Rating (RR) of 'RR1', as
these notes are projected to recover at least 90% in a base-case
default scenario. Recovery Ratings are designed to provide a
forward-looking estimate of recoveries on currently distressed or
defaulted structured finance securities rated 'CCCsf' or below.
For further details on Recovery Ratings, please see Fitch's
reports 'Global Rating Criteria for Corporate CDOs' and 'Criteria
for Structured Finance Recovery Ratings'.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Corporate CDOs' using the
Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model
under various default timing and interest rate stress scenarios,
as described in the report 'Global Criteria for Cash Flow Analysis
in CDOs'. The default timing scenarios were also adjusted since
the weighted average life of the portfolio was approximately two
years. Fitch assumed that 60% of the defaults would occur in the
first year and second year in the front and back default timing
scenarios, respectively, and assumed that defaults would occur
evenly in the mid-default timing scenario. All classes of notes
passed the various stress scenarios at rating levels above their
current ratings, and the class E notes passed in scenarios in line
with their current ratings when obligor correlation assumptions
were increased. Fitch's rating actions deviated from these
modeling results, however, due to the concentration risks stated
above.
CapitalSource CLT 2006-1 is a static collateralized debt
obligation (CDO) that closed on April 11, 2006 and is managed and
serviced by CapitalSource Finance LLC (CapitalSource). The
transaction is secured by a portfolio of middle-market corporate
loans, all of which are first-lien loans. None of the obligors
are publicly rated; Fitch establishes model-based credit opinions
for the performing loans, depending on the availability of
information. Information for the credit opinions was gathered
from financial statements provided to Fitch by CapitalSource.
CAPITALSOURCE COMM: Stable Performance Cues Fitch to Hold Ratings
-----------------------------------------------------------------
Fitch Ratings has affirmed these classes of notes issued by
CapitalSource Commercial Loan Trust 2007-1 (CapitalSource CLT
2007-1):
-- $48,246,626 class C notes 'BBsf'; Outlook revised to Stable
from Negative;
-- $27,673,474 class D notes 'B-sf'; Outlook Negative;
-- $19,602,044 class E notes 'CCsf', RR revised to 'RR5' from
'RR3'.
The affirmations are based on the stable performance of the
transaction since Fitch's last rating action in October 2010.
Since that time, the remaining classes of notes have benefited
from increases of credit enhancement due to the $107.8 million of
amortization that has occurred in the underlying loan portfolio.
However, the portfolio has grown heavily concentrated in
approximately $98.6 million in loans from 11 obligors. In
addition, two loans from one obligor were reported as delinquent,
both totaling approximately 1.9% of the outstanding loan balance,
as of the September 2011 report.
Through a combination of loan repayments and the diversion of
excess spread to pay note principal, the class A and class B notes
have been paid in full and approximately 42.6% of the original
class C balance has been paid. Fitch revised the Rating Outlook
to Stable from Negative on the class C notes because they are
well-positioned to withstand future credit deterioration in the
portfolio due to their seniority and the credit enhancement
available to these notes. Fitch maintains a Negative Rating
Outlook on the class D notes because of the high degree of obligor
concentration and the risky characteristics of the underlying
portfolio. Fitch considers approximately $96.7 million loans from
ten obligors as performing loans, with the two largest loans
comprising approximately 45.7% of the performing balance. Fitch
also views the weighted average rating factor of the portfolio at
'B/B-', with12.4% of the portfolio considered at 'CCC'.
The notes of CapitalSource CLT 2007-1 benefit from credit
enhancement in the form of collateral coverage, note
subordination, and the application of excess spread to repay note
principal. The transaction is structured to maintain 100%
collateralization of the outstanding liabilities. Upon the
occurrence of a charge-off in the portfolio, the payment waterfall
directs combined interest and principal proceeds otherwise
available to the equity to pay down the senior-most notes in an
amount equal to the charged-off balance. The transaction is
currently undercollateralized by approximately $13 million,
diverting all portfolio proceeds towards the sequential repayment
of the notes until the transaction is back to 100%
collateralization. The unrated class F notes (equity), which are
the first to absorb portfolio losses, carry a balance of
approximately $16.1 million, leaving an implied cushion of $3.1
million for the class E notes. This suggests a high risk of
default for the class E notes if charged-off amounts continue to
outpace principal repayments.
The Recovery Rating (RR) on the class E notes is revised to 'RR5'
from 'RR3', as these notes are projected to recover 10-30% in a
base-case default scenario. Recovery Ratings are designed to
provide a forward-looking estimate of recoveries on currently
distressed or defaulted structured finance securities rated
'CCCsf' or below. For further details on Recovery Ratings, please
see Fitch's reports 'Global Rating Criteria for Corporate CDOs'
and 'Criteria for Structured Finance Recovery Ratings'.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Corporate CDOs' using the
Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model
under various default timing and interest rate stress scenarios,
as described in the report 'Global Criteria for Cash Flow Analysis
in CDOs'. The default timing scenarios were also adjusted since
the weighted average life of the portfolio was approximately two
years. Fitch assumed that 60% of the defaults would occur in the
first year and second year in the front and back default timing
scenarios, respectively, and assumed that defaults would occur
evenly in the mid-default timing scenario. The class C and class
E notes passed the various stress scenarios at rating levels above
their current ratings, but the class D notes passed in scenarios
in line with their current. Fitch's rating actions deviated from
these modeling results, however, due to the concentration risks
stated above.
CapitalSource CLT 2007-1 is a static collateralized debt
obligation (CDO) that closed on April 12, 2007 and is managed and
serviced by CapitalSource Finance LLC (CapitalSource). The
transaction is secured by a portfolio of middle-market corporate
loans, 70.7% (of the performing balance) of which are senior
secured loans and 29.3% of which are subordinate loans.
Approximately 90% of the performing loans are not publicly rated;
instead, Fitch establishes model-based credit opinions for the
performing loans. Information for the credit opinions was
gathered from financial statements provided to Fitch by
CapitalSource.
CAPITALSOURCE COMM: Fitch Holds Rating on 2 Note Classes at Low-B
-----------------------------------------------------------------
Fitch Ratings has affirmed these classes of notes issued by
CapitalSource Commercial Loan Trust 2006-2 (CapitalSource CLT
2006-2):
-- $120,462,092 class C notes 'Asf'; Outlook revised to Stable
from Negative;
-- $101,250,000 class D notes 'BBB-sf'; Outlook Negative;
-- $56,250,000 class E notes 'Bsf'; Outlook Negative.
The affirmation of the notes is based on the generally stable
performance of the transaction since Fitch's last rating action in
October 2010. Since that time, each remaining class of notes has
benefited from increased credit enhancement levels due to the
significant amortization of the underlying portfolio. However,
the underlying loan portfolio is becoming increasingly
concentrated in low-rated loans.
Through a combination of loan repayments and the diversion of
excess spread to pay note principal, over $277 million has been
repaid to the liabilities since Fitch's last rating action,
including, the payment-in-full of the class A and B notes. The
class C notes, which now rank senior in the capital structure,
have received approximately $37 million of principal payments
since Fitch's last rating action. Fitch has revised the Rating
Outlook on the class C notes to Stable, reflecting the fact that
they are well-positioned to withstand future credit deterioration
in the portfolio due to their senior priority and the degree of
overcollateralization available to these notes. As of the Sept.
20, 2011 servicer report Fitch considers the performing portfolio
balance to consist of approximately $363.4 million of loans.
Approximately $134.2 million (36.9%) of the performing loans are
from obligors assumed by Fitch to be rated 'CCC' or 'CC', due to
the absence of a current credit opinion. These obligors have
generally been in the portfolio for several years and had
previously been assigned credit opinions by Fitch. Of these
unrated loans $95.7 million (26.3%) are scheduled to mature over
the next 12 months.
Fitch maintains Negative Rating Outlooks on the class D and E
notes due to the significant proportion of assets without current
Fitch credit opinions and the increasing degree of concentration
in several lowly-rated obligors. While the performing loan
portfolio consists of 44 unique obligors, the largest 5 obligors
represent 47.8% and are all considered by Fitch to be rated 'CCC'
or 'CC'. In total, assets considered 'CCC' or lower represent
61.7% of the performing portfolio, compared to 42.5% at Fitch's
last rating action. The increase in 'CCC' exposure is
attributable to a combination of repayments of higher-quality
loans and negative credit migration in the remaining portfolio.
In partial mitigation, 88.2% of the portfolio represents loans
secured by a first lien in underlying collateral.
The notes of CapitalSource CLT 2006-2 benefit from credit
enhancement in the form of collateral coverage, note
subordination, and the application of excess spread to repay note
principal. Upon the occurrence of a default in the portfolio, the
payment waterfall directs part or all of the excess interest
otherwise available to the equity to pay down the senior-most
notes in an amount equal to the aggregate balance of defaulted
assets in the portfolio.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Corporate CDOs' using the
Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model
under various default timing and interest rate stress scenarios,
as described in the report 'Global Criteria for Cash Flow Analysis
in CDOs'. The default timing scenarios were also adjusted since
the weighted average life of the portfolio was approximately two
years. Fitch assumed that 60% of the defaults would occur in the
first year and second year in the front and back default timing
scenarios, respectively, and assumed that defaults would occur
evenly in the mid-default timing scenario. The class C, D and E
notes passed the various stress scenarios at rating levels above
their current ratings. Fitch is affirming all of the notes and
maintaining the Negative Outlook on the class D and E notes due to
the concentration risks presented by the largest 5 obligors
(47.8%) and the proportion of assets without current Fitch credit
opinions.
CapitalSource CLT 2006-2 is a collateralized debt obligation (CDO)
that closed on Sept. 28, 2006 and is managed and serviced by
CapitalSource Finance LLC (CapitalSource). The transaction is in
its amortization period and is secured by a portfolio of middle-
market corporate loans, 88.2% of which are first-lien and 11.8% of
which are second-lien or subordinate. The majority of these loans
are not publicly rated; instead, Fitch establishes model-based
credit opinions for the performing loans. Information for the
credit opinions was gathered from financial statements provided to
Fitch by CapitalSource.
CBA COMMERCIAL: S&P Lowers Rating on Class M-1 Certificates to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes of commercial mortgage pass-through certificates from CBA
Commercial Assets LLC's series 2006-2.
"We downgraded the class M-1 certificate to reflect a $51,209
principal loss to the security's outstanding principal balance.
The current principal balance as of the September 2011 remittance
report is $3,699,791. We previously lowered our rating on the
class M-2 certificate (which experienced a 100% principal loss) to
'D (sf)' in January 2011. We downgraded the class A certificate
due to continued poor collateral performance and credit support
erosion affecting the class," S&P stated.
As of the September 2011 remittance report, there were 183
assets in the collateral pool with an aggregate trust balance of
$77.2 million, down from 294 assets totaling $130.5 million at
issuance. Forty-eight assets totaling $19.8 million (25.7%) are
with the special servicer. To date, 44 loans have experienced
losses totaling $17.2 million and an approximate average loss
severity of 72.4%.
Ratings Lowered
CBA Commercial Assets LLC
Commercial mortgage pass-through certificates series 2006-2
Rating
Class To From Credit enhancement (%)
A CCC- (sf) CCC+ (sf) 4.79
M-1 D (sf) CCC- (sf) 0.00
CHESAPEAKE FUNDING: Moody's Assigns Definitive Ratings to Notes
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings of Aaa
(sf), Aa2 (sf) and A2 (sf) to the Class A, Class B and Class C,
respectively, Series 2011-2 Floating Rate Asset Backed Investor
Notes issued by Chesapeake Funding LLC (Issuer), a bankruptcy-
remote special purpose entity wholly owned by PHH Corporation
(PHH) (Sr. Unsecured Ba2, outlook stable). The complete rating
action is:
Issuer: Chesapeake Funding LLC
Class A Notes, Assigned Aaa (sf)
Class B Notes, Assigned Aa2 (sf)
Class C Notes, Assigned A2 (sf)
RATINGS RATIONALE
The ratings are based on an assessment of the quality of the
collateral, the credit enhancement in the deal and the structural
features. The principal methodology used in rating the transaction
is summarized below. Other methodologies and factors that may have
been considered in the process of rating this issue can also be
found in the Rating Methodologies sub-directory on Moody's
website. The notes are ultimately backed by a special unit of
beneficial interest in a pool of mostly open-end leases and the
related vehicles as well as a special unit of beneficial interest
in a pool of fleet receivables. The leases were originated in the
name of D L Peterson Trust by PHH Vehicle Management Services LLC
d/b/a PHH Arval (PHH Arval), an indirect wholly owned subsidiary
of PHH. PHH Arval is one of the largest companies in the fleet
leasing/management industry.
Key credit metrics on the lease pool include the weighted average
rating of the lessees, the diversity score (a measure of the
diversity of the pool of lessees) and the break-even recovery rate
on liquidated collateral in the event of a lessee default. Moody's
assesses the overall pool based on a subset of the 200 largest
obligor exposures which account for approximately 95% of the total
leases in the pool. Approximately 74% of those lessees are rated
by Moody's with an average rating of Ba1. We assume a B2 rating
for the lessees in the pool that are not rated by Moody's. This
results in a probability of default for the entire assessed pool
that is consistent with a Ba2 rating. The diversity score for the
pool is 52, meaning the pool of lessees will have a similar
default profile as a pool of 52 independent and equal-sized
lessees with the same rating as the weighted average rating of the
pool. The diversity score is in line with past PHH sponsored fleet
lease ABS transactions. Given Moody's analysis of the collateral
and deal structure, the expected loss on the Series 2011-2 Class A
Notes is consistent with Aaa at an estimated break-even recovery
rate within the requisite range of less than 65%. The expected
loss on the Series 2011-2 Class B Notes is consistent with Aa2 at
an estimated break-even recovery rate within the requisite range
of 65% to 75%. The expected loss on the Series 2011-2 Class C
Notes is consistent with A2 at an estimated break-even recovery
rate within the requisite range of 70% to 80%.
Chesapeake Funding LLC Series 2011-2 shares essentially the same
structure as Chesapeake Funding LLC Series 2009-2 with the notable
exception of modestly looser collateral concentration limits in
the 2011-2 series. Specifically, the top obligor and top two
obligor limits, if rated Baa3 or higher have been increased from
4.75% to 5.50% and from 8.50% to 9.25% respectively. The top ten
obligor limit has been increased from 30.00% to 31.50%; the limit
on alternative vehicle leases (not cars or light trucks) has
increased from 31.50% to 35.00%; the limit on medium and heavy-
duty truck leases has been increased from 21.50% to 22.50%; the
limit on heavy-duty truck leases has been increased from 7.50% to
10,00%; the limit on equipment leases has been increased from
5.00% to 6.00%; and the limit on forklift leases has been
increased from 2.00% to 3.00%. The changes in equipment type and
top obligor concentrations in this case are relatively small.
While the credit risk of the corporate lessees is the primary
credit consideration for fleet lease transactions, equipment type
concentrations can be a concern in the event of lessee default as
certain types of equipment or vehicles may be expected to have
lower recovery rates. This is mitigated by the fact that Moody's
required break-even recovery rates are much lower than the average
recovery rates that have historically been experienced.
V-SCORE AND LOSS SENSITIVITY
Moody's V Score: The V Score for this transaction is Medium, the
same as that for the fleet leasing sector. The V Score indicates
"Medium" uncertainty about critical assumptions.
The Medium or average score for this transaction is driven by the
Medium score for historical sector performance, the Medium for
sponsor/originator historical performance, and the Medium score
for complexity and market value sensitivity. The transaction score
Low/Medium for governance is largely due to the backup servicing
arrangement. All the scores for the subcomponents are the same as
for the fleet leasing sector as PHH is a typical issuer in the
sector.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: For this exercise, we analyzed
stress scenarios assessing the potential model-indicated ratings
impact if (a) the assumed weighted average rating of the lessees
were to immediately decline from Ba2 to Ba3, B1 and B2 and (b) the
assumed recovery rates were to decrease from 70% to 65%, 60% and
55% with respect to the Class A Notes, the assumed recovery rates
were to decrease from 75% to 70%, 65% and 60% with respect to the
Class B Notes, and the assumed recovery rates were to decrease
from 80% to 75%, 70% and 65% with respect to the Class C Notes.
The following descriptions provide a summary of the results.
Using such assumptions, the Aaa initial rating for the Class A
Notes of Series 2011-2 might change as follows based purely on the
model results: (a) If the assumed weighted average rating of
lessees is Ba2, there will be a one notch change in rating to Aa1
as recovery rate decreases to 55%; (b) If the weighted average
rating of lessees is Ba3, the maximum change will be four notches
to A1 as recovery rate decreases to 55%; (c) If the weighted
average rating of lessees is B1, the maximum change will be eight
notches to Baa2 as recovery rate decreases to 55%; and (d) If the
weighted average rating of lessees is B2, the maximum change will
be eleven notches to Ba2 as recovery decreases to 55%.
The Aa2 initial rating for the Class B Notes of Series 2011-2
might change as follows: (a) If the weighted average rating of
lessees is Ba2, the maximum change will be four notches to A3 as
recovery rate decreases to 60%; (b) If the weighted average rating
of lessees is Ba3, the maximum change will be more than 9 notches
to less than Ba2 as recovery rate decreases to 60%; (c) If the
weighted average rating of lessees is B1, the maximum change will
be more than 13 notches to less than B3 as recovery rate decreases
to 60%; and (d) If the weighted average rating of lessees is B2,
the maximum change will be more than 13 notches to less than B3 as
recovery rate decreases to 60%.
The A2 initial rating for the Class C Notes of Series 2011-2 might
change as follows: (a) If the weighted average rating of lessees
is Ba2, the maximum change will be four notches to Baa3 as
recovery rate decreases to 65%; (b) If the weighted average rating
of lessees is Ba3, the maximum change will be more than 10 notches
to less than B3 as recovery rate decreases to 65%; (c) If the
weighted average rating of lessees is B1, the maximum change will
be more than 10 notches to less than B3 as recovery rate decreases
to 65%; and (d) If the weighted average rating of lessees is B2,
the maximum change will be more than 10 notches to less than B3 as
recovery rate decreases to 65%.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
PRINCIPAL METHODOLOGY
As the majority of the underlying collateral consists of a pool of
open-end leases (i.e. leases where the lessees are responsible for
any residual value losses), the potential credit loss of this
transaction is primarily driven by the default likelihood of the
lessees, the recovery rate when a lessee defaults, and the
diversity of the pool of lessees. An approach similar to that used
in CLO transactions is used. The CLO approach hinges on the idea
of using a 'hypothetical pool' to map the credit and loss
characteristics of an actual pool and then employing a
mathematical technique called binomial expansion to determine the
expected loss of the bond to be rated. Using the binomial
expansion technique, the probability of default of each possible
scenario is calculated based on a mathematical formula, and the
cashflow profile for each scenario is determined based on an
assumed recovery rate. Then each cashflow scenario is fed into a
liability model to determine the actual loss on the bond under
each scenario, and the probability weighted loss or expected loss
of the bond is determined. The expected loss of the bond is then
compared with Moody's Idealized Cumulative Expected Loss Rates
Table to determine a rating for the bond.
The hypothetical pool is characterized by a diversity score. The
diversity score measures the diversity of the actual pool by
mathematically converting the obligor concentrations of the actual
pool into the number of equally-sized uncorrelated obligors which
would represent the same credit risk as the actual pool. This
process is summarized as follows. Each lessee is assigned its
applicable industry category. Lessees in the same industry are
assumed to be correlated with each other, while lessees in
different industries are assumed to be independent. The number of
lessees in the same industry is reduced to reflect the correlation
among them. For example, when calculating the diversity score, six
equal-sized lessees in the same industry are counted as three
independent obligors, while six equal-sized lessees in six
different industries are counted as six independent obligors. The
size of the lessees is also accounted for by reducing the number
of lessees with below average lessee size. In general, the higher
the diversity score, the lower the collateral loss volatility will
be and consequently, the lower the expected loss of a security,
other factors being the same.
Each possible default scenario is determined by both the diversity
score and the average probability of default of the pool. The
weighted average probability of default of the pool is determined
by the probability of default of each lessee or obligor, which is
estimated using the actual lessees' credit ratings, if rated. For
non-rated lessees, the average rating is assumed to be lower than
that of the rated lessees. For example, if the average rating for
the rated lessees is Baa3, we could assume a rating of Ba3 or
lower as the average rating for the non-rated lessees. The
estimated weighted average rating for the entire hypothetical pool
is then used to estimate the probability of each default scenario.
The actual net loss on the bonds under each default scenario is
determined taking into consideration of recoveries in case of
default. When a lessee defaults, recoveries are obtained as the
related leased vehicles are reprocessed and sold to repay the
defaulted lease obligation. We conduct detailed recovery analyses
based on the types of vehicles leased and various default
scenarios for lessees. Based on those recovery analyses, we
determine the ratings after considering the breakeven recovery
rates for the different classes of notes at their associated
credit enhancement levels.
CIT CLO: Moody's Upgrades Ratings of Class E Notes to 'Ba3'
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by CIT CLO I Ltd.:
US$36,400,000 Class C Deferrable Floating Rate Notes Due June 20,
2021, Upgraded to A3 (sf); previously on June 22, 2011 Baa1 (sf)
Placed Under Review for Possible Upgrade;
US$24,000,000 Class D Deferrable Floating Rate Notes Due June 20,
2021, Upgraded to Baa3 (sf); previously on June 22, 2011 Ba2 (sf)
Placed Under Review for Possible Upgrade;
US$25,000,000 Class E Deferrable Floating Rate Notes Due June 20,
2021, Upgraded to Ba3 (sf); previously on June 22, 2011 B3 (sf)
Placed Under Review for Possible Upgrade.
In addition, Moody's confirmed the rating of these notes issued by
CIT CLO I Ltd.:
US$29,000,000 Class B Floating Rate Notes Due June 20, 2021,
Confirmed at Aa2 (sf); previously on June 22, 2011 Aa2 (sf) Placed
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $491.7 million,
defaulted par of $1.4 million, a weighted average default
probability of 25.81% (implying a WARF of 3238), a weighted
average recovery rate upon default of 50.15%, and a diversity
score of 54. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
CIT CLO I Ltd., issued in May 2007, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new issue
loans or other loans with longer maturities and/or participate in
amend-to-extend offerings. Moody's tested for a possible extension
of the actual weighted average life in its analysis.
3) Other collateral quality metrics: The deal is allowed to
reinvest and the manager has the ability to deteriorate the
collateral quality metrics' existing cushions against the covenant
levels. Moody's analyzed the impact of assuming the worse of
reported and covenanted values for weighted average rating factor
and weighted average coupon. However, as part of the base case,
Moody's considered spread and diversity levels higher than the
covenant levels due to the large difference between the reported
and covenant levels.
CITIGROUP COMMERCIAL: Fitch Junks Rating on Eight Cert. Classes
---------------------------------------------------------------
Fitch Ratings downgrades 11 classes of Citigroup Commercial
Mortgage Trust series 2006-C4, commercial mortgage pass-through
certificates, due to further deterioration of performance,
increased loss expectations on the specially serviced loans and
higher than expected realized losses from dispositions.
The downgrades reflect an increase in Fitch modeled losses across
the pool, which includes assumed losses on loans in special
servicing and on performing loans with declines in performance
indicative of a higher probability of default. Fitch modeled
losses of 8.3% (9.4% cumulative transaction losses, which includes
losses realized to date) based on expected losses on the specially
serviced loans and loans that could not refinance at maturity.
As of the September 2011 distribution date, the pool's aggregate
principal balance has decreased 7.3% to $2.1 billion from $2.26
billion at issuance. One loan (0.06%) has been defeased. As of
September 2011, there are cumulative interest shortfalls in the
amount of $4 million, currently affecting classes F through P.
Fitch has designated 42 loans (33.1%) as Fitch Loans of Concern,
which includes 14 specially serviced loans (9.8%).
The largest contributor to losses is the Great Wolf Lodge
Portfolio (2.9%). The portfolio is secured by two hotel/waterpark
properties located in Lake Delton, WI and Sandusky, OH. The loan
transferred to special servicing in September 2010 due to imminent
default. The year end (YE) 2010 debt service coverage ratio
(DSCR) was approximately 0.40 times (x). T he special servicer is
continuing workout discussions with the borrower while pursuing
foreclosure. A recent appraisal indicates significant losses.
The next largest contributor to losses is the Northeast Florida
Industrial loan (1.3%). The loan is secured by a 793,593 square
foot (sf) industrial property in Green Cove Springs, FL. The loan
transferred to special servicing in September 2009 due to imminent
monetary default as a result of the largest tenant vacating its
space. The loan has been modified in November 2009 with a reduced
interest-only pay rate for two years with the difference accruing.
The loan was returned to the master servicer. As of YE 2010 the
DSCR 1.17x (based on the reduced interest rate) and occupancy was
51%.
The third largest contributor to losses was the Bank of America
Plaza (1.6%). The loan is secured by 302,000 sf office property
in downtown Columbia, SC. The loan transferred to the special
servicer in March 2011 when a major tenant vacated its space. The
property is approximately 70% occupied. The special servicer is
pursuing foreclosure and a recent appraisal indicates losses.
Fitch has downgraded, revised Ratings Outlooks and assigned
Recovery Ratings (RR) to these classes as indicated:
-- $164.1 million class A-J to 'BBBsf' from 'Asf'; Outlook
Stable;
-- $50.9 million class B to 'BBsf' from 'BBBsf'; Outlook to
Negative from Stable;
-- $25.5 million class C to 'Bsf' from 'BBsf'; Outlook to
Negative from Stable;
-- $31.1 million class D to 'CCCsf/RR1' from 'BBsf';
-- $22.6 million class E to 'CCCsf/RR1' from 'Bsf';
-- $28.3 million class F to 'CCsf/RR1' from 'CCCsf/RR1';
-- $28.3 million class G to 'CCsf/RR4' from 'CCCsf/RR1';
-- $11.3 million class J to 'Csf/RR6' from 'CCsf/RR6';
-- $8.5 million class K to 'Csf/RR6' from 'CCsf/RR6';
-- $8.5 million class L to 'Csf/RR6' from 'CCsf/RR6';
-- $5.7 million class M to 'Csf/RR6' from 'CCsf/RR6';
Fitch has affirmed these class and revised the RR as indicated:
-- $25.5 million class H at 'CCsf'; to 'RR6' from 'RR3'.
Fitch has affirmed these classes as indicated:
-- $4.2 million class A-1 at 'AAAsf'; Outlook Stable;
-- $152.7 million class A-2 at 'AAAsf'; Outlook Stable;
-- $127.4 million class A-SB at 'AAAsf'; Outlook Stable;
-- $831.3 million class A-3 at 'AAAsf'; Outlook Stable;
-- $341.5 million class A-1A at 'AAAsf'; Outlook Stable;
-- $266.4 million class A-M at 'AAAsf'; Outlook Stable.
Classes N and O have realized losses and remain at 'D/RR6'. Fitch
does not rate class P which has been reduced to $0 due to losses.
Fitch previously withdrew the ratings of the interest-only class
X.
COMM 2011-FL1: Moody's Assigns (P)Ba2 Rating to Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to nine
classes of CMBS securities, issued by COMM 2011-FL1 Commercial
Mortgage Pass-Through Certificates.
Cl. A, Assigned (P)Aaa (sf)
Cl. X, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa2 (sf)
Cl. C, Assigned (P)A2 (sf)
Cl. D, Assigned (P)Baa2 (sf)
Cl. E, Assigned (P)Baa3 (sf)
Cl. F, Assigned (P)Ba2 (sf)
Cl. NH1, Assigned (P)Ba3 (sf)
Cl. ESG1, Assigned (P)Ba3 (sf)
RATINGS RATIONALE
The Certificates are collateralized by 7 floating rate loans
secured by 52 properties. The ratings are based on the collateral
and the structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Stressed DSCR for the Pooled Trust is 1.69X which is
higher than the 2007 large transaction average of 1.63X. Moody's
LTV ratio for the Pooled Trust is 64.3% which is slightly higher
than the 2007 large loan transaction average of 63.3%.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach. With respect to
loan level diversity, the pool's loan level Herfindahl score is
4.5. The score is consistent with Herfindahl scores represented by
large loan, multi-borrower transactions previously rated by
Moody's. With respect to property level diversity, the pool's
property level Herfindahl score is 4.7. The transaction's property
diversity profile is also in-line with previously rated large loan
multi-borrower transactions.
The deal is structured as a Modified Pro Rata pay, whereby
principal payments with respect to the trust assets will be
distributed on a modified pro rata basis pursuant to the following
allocation: Class A: 65.50%, Class B: 8.52%, Class C: 9.14%, Class
D: 5.72%, Class E: 7.27%, and Class F: 3.84%. Relative to a
traditional senior sequential structure, modified pro rata pay
increases expected loss for senior rated tranches, but
incrementally reduces expected loss for junior rated tranches.
The modified pro rata pay structure will continue until a
sequential pay down event occurs at which time such mortgage loan
will be allocated sequentially among the certificates. A
sequential pay down event will occur when (i) a borrower fails to
make two consecutive monthly payments, (ii) the related mortgage
loan has been accelerated, (iii) an appraisal reduction event has
occurred that also constitutes a mortgage loan event of default
with respect to such mortgage loan, or (iv) there is any
modification, discounted pay-off or realized loss with respect to
the related mortgage loan.
Moody's grades properties on a scale of 1 to 5 (best to worst) and
considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The pool's weighted
average property quality grade is 1.7, which is low compared to
other deals rated by Moody's since 2009. The low weighted average
grade is indicative of the strong market composition of the pool
and the institutional investor quality of underlying assets in the
deal.
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.1. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
The V Score for this transaction is assessed as Medium, the same
as the V score assigned to the U.S. Large Loan CMBS sector. This
reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 17%, or 29%, the model-indicated rating for the currently
rated Aaa class would be Aa1; Aa2; and A1. Parameter Sensitivities
are not intended to measure how the rating of the security might
migrate over time; rather they are designed to provide a
quantitative calculation of how the initial rating might change if
key input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged. Parameter
Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could
vary from the information presented in the Parameter Sensitivity
analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of, Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
COMSTOCK FUNDING: Moody's Raises Rating of Cl. D Notes to 'Ba3'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Comstock Funding Ltd.:
US$45,000,000 Class A-1A Floating Rate Senior Revolving Notes Due
2020 (current balance of $38,806,387), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa1 (sf) Placed Under Review for
Possible Upgrade;
US$280,500,000 Class A-1B Floating Rate Senior Notes Due 2020
(current balance of $241,893,148), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa1 (sf) Placed Under Review for
Possible Upgrade;
US$22,500,000 Class A-2 Floating Rate Senior Notes Due 2020,
Upgraded to Aa1 (sf); previously on June 22, 2011 Aa3 (sf) Placed
Under Review for Possible Upgrade;
US$19,000,000 Class A-3 Floating Rate Senior Notes Due 2020,
Upgraded to Aa2 (sf); previously on June 22, 2011 A2 (sf) Placed
Under Review for Possible Upgrade;
US$23,000,000 Class B Floating Rate Deferrable Senior Subordinate
Notes Due 2020, Upgraded to A3 (sf); previously on June 22, 2011
Ba1 (sf) Placed Under Review for Possible Upgrade;
US$25,000,000 Class C Floating Rate Deferrable Senior Subordinate
Notes Due 2020, Upgraded to Baa3 (sf); previously on June 22, 2011
Caa1 (sf) Placed Under Review for Possible Upgrade;
US$14,000,000 Class D Floating Rate Deferrable Subordinate Notes
Due 2020 (current balance of $12,910,503), Upgraded to Ba3 (sf);
previously on June 22, 2011 Ca (sf) Placed Under Review for
Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of the issuance of
additional Income Notes. On September 30, 2011, the issuer issued
additional Income Notes in the aggregate principal amount of
$13,000,000, which provides the benefit of increased
collateralization on the rated notes.
Furthermore, the actions are also a result of an increase in the
transaction's overcollateralization ratios since the rating action
in July 2010. Based on the August 2011 trustee report, the Class
A, Class B, Class C, and Class D overcollateralization ratios are
reported at 124.49%, 116.2%, 108.35%, and 104.7%, respectively,
versus June 2010 levels of 120.02%, 112.02%, 104.46%, 100.81%,
respectively. The overcollateralization ratios reported in the
August 2011 trustee report do not reflect the issuance of the
additional $13 million of Income Notes.
Moody's notes that its analysis takes into account (1) the current
constraints around reinvesting due to the failure to meet certain
reinvestment criteria and (2) the possibility that the deal will
be allowed to reinvest in additional collateral obligations if the
restrictions on reinvesting were removed. Currently, the deal does
not have the ability to reinvest and as a result, cash has been
accumulating in the deal since July 2009. As of the August 2011
trustee report, the principal collections account balance is
$207,051,154. Although Moody's examined a static case which
assumes that the current outstanding principal collections along
with future amortizations are held in a reserve account until
applied in accordance to the priority of payments after the end of
the reinvestment period, in reaching its conclusions Moody's
assigned a material likelihood to the case where reinvesting will
resume in the near future. Due to substantial uncertainties
relating to the composition of a new asset pool combining the
characteristics of legacy collateral as well as a significant
proportion of new collateral, Moody's modeled covenant levels for
weighted average rating factor, weighted average spread, and
diversity that are captured in the current Grid Test. Moody's also
assumed a blended weighted average recovery rate consisting of the
actual recovery rate of the current portfolio and a senior secured
loan recovery rate for the additional collateral obligations. The
weighted average life is modeled at the current covenant level. In
determining the appropriate point in the Grid Test to model,
Moody's chose a combination of WARF, WAS, and Diversity that is
currently elected by the collateral manager. The deal is required
to satisfy its collateral quality tests or maintain and improve
actual levels if the collateral quality tests are breached. In its
analysis, Moody's expects that the new asset pool, comprising of
legacy collateral and additional collateral obligations purchased
with principal collections plus the issuance of additional income
notes, will have a combined credit risk profile that is consistent
with the Grid Test. Additionally, Moody's notes that the deal is
prohibited from purchasing additional structured finance
securities after the initial ramp up period.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool, assuming
the deal is able to reinvest, to have a performing par and
principal proceeds balance of $418.4 million, defaulted par of
$4.9 million, a weighted average default probability of 19.05%
(implying a WARF of 2594), a weighted average recovery rate upon
default of 46.8%, and a diversity score of 55. The default and
recovery properties of the collateral pool are incorporated in
cash flow model analysis where they are subject to stresses as a
function of the target rating of each CLO liability being
reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Comstock Funding Ltd., issued in June of 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Currently, a substantial proportion of the portfolio is held in
cash due to high prepayment levels in the loan market and the
static nature of the deal. While Moody's expect reinvesting has a
material likelihood of resuming, such a case is subject to
significant uncertainty relating to the composition of the new
asset pool. In its analysis, Moody's assumed that the cash would
be reinvested in primarily senior secured loans. The deal is also
impacted by the timing and pace of reinvesting.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
COUGAR CLO: Moody's Raises Rating of $17.2-Mil. Notes to 'Ba1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Gale Force 4 CLO, Ltd.:
$310,320,000 Class A-1A First Priority Senior Secured Floating
Rate Notes due 2021, Upgraded to Aaa (sf); previously on June 22,
2011 Aa1 (sf) Placed on Review for Possible Upgrade;
$34,480,000 Class A-1B Second Priority Senior Secured Floating
Rate Notes due 2021, Upgraded to Aa2 (sf); previously on June 22,
2011 A1 (sf) Placed on Review for Possible Upgrade;
$12,400,000 Class B Third Priority Senior Secured Floating Rate
Notes due 2021, Upgraded to A1 (sf); previously on June 22, 2011
A3 (sf) Placed on Review for Possible Upgrade;
$28,500,000 Class C Fourth Priority Senior Secured Deferrable
Floating Rate Notes due 2021, Upgraded to Baa2 (sf); previously on
June 22, 2011 Ba1 (sf) Placed on Review for Possible Upgrade;
$17,200,000 Class D Fifth Priority Mezzanine Deferrable Floating
Rate Notes due 2021, Upgraded to Ba1 (sf); previously on June 22,
2011 B1 (sf) Placed on Review for Possible Upgrade;
$17,900,000 Class E Sixth Priority Mezzanine Deferrable Floating
Rate Notes due 2021, Upgraded to Ba3 (sf); previously on June 22,
2011 Caa3 (sf) Placed on Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $441 million,
defaulted par of $3 million, a weighted average default
probability of 25% (implying a WARF of 3136), a weighted average
recovery rate upon default of 49%, and a diversity score of 65.
The default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Gale Force 4 CLO, Ltd., issued in August 16, 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new issue
loans or other loans with longer maturities and/or participate in
amend-to-extend offerings. Moody's tested for a possible extension
of the actual weighted average life in its analysis.
2) Other collateral quality metrics: The deal is allowed to
reinvest and the manager has the ability to deteriorate the
collateral quality metrics' existing cushions against the covenant
levels. Moody's analyzed the impact of assuming the worse of
reported and covenanted values for weighted average rating factor,
weighted average spread, weighted average coupon and diversity
score.
CPS AUTO: S&P Gives 'B+' Rating on Class D Notes
------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to CPS
Auto Receivables Trust 2011-B's $109.936 million asset-backed
notes.
The note issuance is an asset-backed securitization of subprime
auto loan receivables.
The ratings reflect S&P's assessment of:
The availability of approximately 36.1%, 30.8%, 22.6%, and
19.5% of credit support for the class A, B, C, and D notes
based on stressed cash flow scenarios (including excess
spread). They provide coverage of approximately 2.1x, 1.7x,
1.33x, and 1.11x our 14.25%-14.75% expected cumulative net
loss range for the class A, B, C, and D notes.
"The expectation that, under a moderate stress scenario of
1.70x our expected net loss level, the ratings on the class A,
B, and C notes will not decline by more than two rating
categories during the first year, all else being equal. This
is consistent with our credit stability criteria, which
outlines the outer bound of credit deterioration equal to a
two-category downgrade within the first year for 'A', 'BBB',
and 'BB' rated securities (see 'Methodology: Credit Stability
Criteria,' published May 3, 2010)," S&P stated.
The credit enhancement underlying each of the rated notes,
which is in the form of subordination, overcollateralization,
a reserve account, and excess spread for the class A, B, C,
and D notes.
"The timely interest and principal payments made to the rated
notes under our stressed cash flow modeling scenarios, which
we believe are appropriate for the assigned ratings," S&P
stated.
The collateral characteristics of the subprime automobile
loans securitized in this transaction.
The transaction's payment and credit enhancement structures,
which include performance triggers.
The transaction's legal structure.
Standard & Poor's 17g-7 Disclosure Report
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at
http://standardandpoorsdisclosure-17g7.com/1111169.pdf
Ratings Assigned
CPS Auto Receivables Trust 2011-B
Class Rating Amount (mil. $)
A A (sf) 91.058
B BBB (sf) 8.884
C BB (sf) 5.552
D B+ (sf) 4.442
CREST 2001-1: Moody's Lowers Rating of Notes Due 2034 to 'Ca'
-------------------------------------------------------------
Moody's has affirmed the ratings of two classes and downgraded the
class of one class of Notes issued by Crest 2001-1 Ltd. due to
deterioration in the underlying collateral as evidenced by the
Moody's weighted average rating factor (WARF) and recovery rate
(WARR). The material increase in WARF was due to amortization of
REIT collateral since the last review. The affirmations are due to
key transaction parameters performing within levels commensurate
with the existing ratings levels. The rating action is the result
of Moody's on-going surveillance of commercial real estate
collateralized debt obligation and ReRemic (CRE CDO and ReRemic)
transactions.
US Class B-1 Second Priority Fixed Rate Term Notes, Due 2034,
Affirmed at A1 (sf); previously on Feb 26, 2009 Downgraded to A1
(sf)
US Class B-2 Second Priority Floating Rate Term Notes, Due 2034,
Affirmed at A1 (sf); previously on Feb 26, 2009 Downgraded to A1
(sf)
US Class C Third Priority Fixed Rate Term Notes, Due 2034,
Downgraded to Ca (sf); previously on Nov 11, 2010 Downgraded to
Caa1 (sf)
RATINGS RATIONALE
Crest 2001-1, Ltd., is a quarterly paying static cash CRE CDO
transaction backed by a portfolio of commercial mortgage backed
securities (CMBS) (83.7% of the pool balance) and real estate
investment trust (REIT) debt (16.3%). As of the August 18th, 2011
Trustee report, the aggregate Note balance of the transaction,
including preferred shares, was $89.4 million from $500.0 million
at issuance, with the paydown directed to the Class B1 & B2 Notes,
as a result of amortization of the underlying collateral.
There are three assets with a par balance of $26.7 million (29.0%
of the current pool balance) that are considered Defaulted
Securities as of the August 18th, 2011 Trustee report. 100% of
these assets are CMBS. While there have been no losses to the deal
to date, Moody's does expect losses to occur from the defaulted
securities once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 5,427 compared to 1,624 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (9.4% compared to 19.9% at last review), A1-A3
(3.6% compared to 0.0% at last review), Baa1-Baa3 (26.2% compared
to 49.4% at last review), Ba1-Ba3 (6.9% compared to 14.1% at last
review), B1-B3 (0% compared to 5.5% at last review), and Caa1-C
(53.9% compared to 11.1% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 3.9 years compared
to 3.6 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
16.8% compared to 35.6% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 10.2% compared to 10.1% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
16.8% to 6.8% or up to 26.8% would result in average rating
movement on the rated classes from 0 to 3 notches downward, or 0
to 3 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current sluggish macroeconomic environment and performance
in the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors are
tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. The availability of debt capital continues to improve
with terms returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
DEUTSCHE BANK: Fitch Plans to Rate $5.9 Mil. NH1 Note at 'BBsf'
---------------------------------------------------------------
Fitch Ratings has issued a presale report on Deutsche Bank's COMM
2011-FL1. Fitch expects to rate the transaction and assign
Outlooks:
-- $356,295,000 class A 'AAAsf'; Outlook Stable;
-- $62,428,000 class B 'AAsf'; Outlook Stable;
-- $66,996,000 class C 'Asf'; Outlook Stable;
-- $41,872,000 class D 'BBBsf'; Outlook Stable;
-- $5,990,000 class NH1 'BBsf'; Outlook Stable.
The expected ratings are based on information provided by the
issuer as of Sept. 28, 2011. Fitch does not expect to rate the
$609,052,765 interest-only class X, the $53,293,000 class E, the
$21,168,765 class F, or the $4,000,000 class ESG1.
The certificates represent the beneficial ownership in the trust,
primary assets of which are seven loans secured by 52 commercial
properties having an aggregate pooled principal balance of
approximately $609.1 million as of the cutoff date and an
additional $10 million of non-pooled classes. The loans were
originated by German American Capital Corporation, an indirect and
wholly owned subsidiary of Deutsche Bank AG.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 95.7% of the properties
by balance, cash flow analysis of 100% of the pool and asset
summary reviews of 100% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.55 times, a Fitch stressed loan-to value (LTV) of
65.6%, and a Fitch debt yield of 16.4%. Fitch's aggregate net
cash flow represents a variance of 8.7% to issuer cash flows.
The Master Servicer and Special Servicer will be Wells Fargo Bank,
N.A., and Midland Loan Services, Inc., rated 'CMS2' and 'CSS1',
respectively, by Fitch.
DFR MIDDLE MARKET: Moody's Raises Rating of Class D Notes to 'Ba1'
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by DFR Middle Market CLO Ltd.:
US$38,000,000 Class B Deferrable Mezzanine Floating Rate Notes Due
2019 Notes, Upgraded to Aaa (sf); previously on June 22, 2011 Aa2
(sf) Place on Review for Possible Upgrade;
US$28,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due
2019 Notes, Upgraded to A2 (sf); previously on June 22, 2011 Baa1
(sf) Place on Review for Possible Upgrade;
US$19,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due
2019 Notes, Upgraded to Ba1 (sf); previously on June 22, 2011 Ba2
(sf) Place on Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's coverage ratios due to delevering of the senior
notes since the rating action in May 2011. Moody's notes that the
Class A-1A Notes have been paid down by approximately 63% or
$25.9 million since the rating action in May 2011. As a result of
the delevering, the coverage ratios have increased since the
rating action in May 2011. Based on the latest trustee report
dated September 9, 2011, the Class B, Class C and Class D
overcollateralization ratios are reported at 193.0% , 148.8% and
128.8%, respectively, versus April 2011 levels of 155.9%, 132.3%
and 120.0%, respectively.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $185.4 million,
defaulted par of $10.5 million, a weighted average default
probability of 29.22% (implying a WARF of 4695), a weighted
average recovery rate upon default of 34.37%, and a diversity
score of 25. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
DFR Middle Market CLO issued in July 2007, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties.
3) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability stresses Moody's may assume in lieu of updated
credit estimates. Moody's also conducted stress tests to assess
the collateral pool's concentration risk in obligors bearing a
credit estimate that constitute more than 3% of the collateral
pool.
DOWLING COLLEGE: Moody's Lowers Rating of '96 & '92 Bonds to Caa1
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating to Caa1 from
B3 on Dowling College's Series 1996 and 2002 bonds. The Series
2002 bonds were issued through the Town of Brookhaven Industrial
Development Agency, and the Series 1996 bonds were issued through
the Suffolk County Industrial Development Agency. The rating
remains on watchlist for further possible downgrade.
Our review will focus on final student enrollment information for
fall 2011 and audited financials for FY 2011 as well as receipt of
financial covenant calculations for 9/30/11.
SUMMARY RATING RATIONALE
The downgrade to Caa1 rating is based on further decline in
enrollments, low liquidity relative to debt and operations, and
thin operating margins. The rating remains on watchlist reflecting
Moody's view that the College's operations will be challenged,
especially in the near term, driven by fall 2011 enrollment
decline below the budget.
CHALLENGES
*Challenging student market position, as evidenced by enrollment
declines and weak freshmen selectivity and matriculation levels.
In fall 2010, Dowling enrolled a combined 3,963 full-time
equivalent (FTE) students at its two campuses on the southern
shore of Long Island, NY (compared to 4,435 FTE in fall 2009). In
fall 2010, Dowling accepted 81.4% of freshmen applicants and 23.7%
of those accepted chose to enroll, highlighting a significant
amount of competition from both other local private and public
universities. The College is experiencing increased pressure on
enrollment at both undergraduate and graduate level programs.
*Thin liquidity position with expendable financial resources
covering debt by 0.11 times in FY 2010. Balance sheet continues to
deteriorate due to consecutive years of operating deficits, based
on Moody's calculations (including a 5% endowment spending draw
and depreciation as an operating expense), and past investment
losses.
*Weak operating performance with reliance on $2 million line of
credit and on unusually high level of unrestricted gifts from the
board ($4.1 million in FY 2010).
*Concentrated revenue base with tuition and auxiliary revenue
accounting for over 90% of total revenue in FY 2010.
STRENGTHS
*Large enrollment base of 3,963 full-time equivalent students
(FTE) in fall 2010 and diversified program offerings including
degrees in arts, sciences, business administration, and education.
*Net tuition revenue and net tuition per student have grown in
each of the past three years driven by tuition increases. In FY
2010, the College generated $14,763 of net tuition per student, an
11% increase over FY 2007.
*In response to the ongoing operating pressures, the management
reports focusing on expense containment and more frequent interim
financial reporting to the board throughout the year. Management
has started monthly reporting of operations to the board as well
as to the bank providing the line of credit.
The rating remains on the watchlist reflecting an expectation that
the student market position will remain challenged in the near
term, resulting in weak operating performance and thin liquidity.
The watchlist for downgrade also incorporates the consistently
heavy reliance on the operating line of credit and on the
unrestricted gifts from the board for operating cash requirements.
WHAT COULD MAKE THE RATING GO UP
Given the deteriorating operating and financial metrics, a rating
upgrade is highly unlikely in the intermediate term. In the long
term, significant growth in liquidity, coupled with strengthening
of operating performance and stabilization of enrollment.
WHAT COULD MAKE THE RATING GO DOWN
The rating could be downgraded in the event that the College does
not demonstrate significant progress towards improving its student
market position. In addition, borrowing without commensurate
growth of financial resources, inadequate annual debt service
coverage, and inability to achieve at least balanced operating
performance, absent unusual levels of philanthropic support from
the board, could result in a downgrade.
PRINCIPAL METHODOLOGY USED
The principal methodology used in this rating was U.S. Not-for-
Profit Private and Public Higher Education published in August
2011.
FHA-VA RMBS: Moody's Downgrades Cl. I-F Notes Rating to 'Ba1'
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 13
tranches issued by RBSGC Mortgage Loan Trust 2005-RP1. The
collateral consists of fixed and adjustable-rate mortgage loans
insured by the Federal Housing Administration (FHA) an agency of
the U.S. Department of Urban Development (HUD) or guaranteed by
the Veterans Administration (VA).
Complete rating actions are:
Issuer: RBSGC Mortgage Loan Trust 2005-RP1
Cl. I-F, Downgraded to Ba1 (sf); previously on Jul 27, 2011 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-SF, Downgraded to Ba1 (sf); previously on Jul 27, 2011 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-SB, Downgraded to B1 (sf); previously on Jul 27, 2011 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-B-1, Downgraded to B1 (sf); previously on Jul 27, 2011 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. I-B-2, Downgraded to Caa3 (sf); previously on Jul 27, 2011 B2
(sf) Placed Under Review for Possible Downgrade
Cl. I-B-3, Downgraded to C (sf); previously on Jul 24, 2009
Downgraded to Ca (sf)
Cl. I-B-4, Downgraded to C (sf); previously on Jul 24, 2009
Downgraded to Ca (sf)
Cl. II-A, Downgraded to Baa2 (sf); previously on Aug 2, 2011
Confirmed at Aaa (sf)
Cl. II-B-1, Downgraded to Ba1 (sf); previously on Jul 27, 2011 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-B-2, Downgraded to Ba3 (sf); previously on Jul 27, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Cl. II-B-3, Downgraded to Caa2 (sf); previously on Jul 27, 2011
Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-B-4, Downgraded to C (sf); previously on Jul 27, 2011 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. II-B-5, Downgraded to C (sf); previously on Jul 24, 2009
Downgraded to Ca (sf)
RATINGS RATIONALE
The actions are a result of Moody's updated loss projection for
the RMBS FHA-VA portfolio. The updated projection accounts for
higher potential pool losses due to self-curtailment of claims by
servicers whereby they pass expenses as deemed reasonable to the
trusts instead of submitting them to HUD, and continued weaknesses
in the macro economy and the housing market.
In this rating action, Moody's also corrected the approach that
was used to assign ratings on the IO bond I-SB. The rating on the
IO bond should be the same as the highest rating of the
subordinate P&I bond(s) to which it is linked. In the previous
rating action, Moody's mistakenly assigned I-SB the rating of a
senior P&I bond I-F; this has been corrected in the action, and I-
SB now bears the rating of the highest subordinate P&I bond.
A FHA guarantee covers 100% of a loan's outstanding principal and
a large portion of its outstanding interest and foreclosure-
related expenses in the event that the loan defaults. A VA
guarantee covers only a portion of the principal based on the
lesser of either the sum of the current loan amount, accrued and
unpaid interest, and foreclosure expenses, or the original loan
amount. HUD usually pays claims on defaulted FHA loans when
servicers submit the claims, but can impose significant penalties
on servicers if it finds irregularities in the claim process later
during the servicer audits. This can prompt servicers to push more
expenses to the trust that they deem reasonably incurred than
submit them to HUD and face significant penalty. The rating
actions consider the portion of a defaulted loan normally not
covered by the FHA or VA guarantee and other servicer expenses
they deemed reasonably incurred and passed on to the trust.
FHA/VA borrowers, in Moody's-rated transactions, are typically low
income borrowers with poor credit history who have been affected
by the weak economy and housing market. Moody's expects
delinquencies to remain high for this sector at 40%, 35%, and 30%
for the 2004, 2005, and 2006 vintages, respectively as house
prices continue to decline and unemployment rates remain high.
FHA/VA RMBS transactions have had very low losses to date (less
than 1%) despite high delinquency levels due to the FHA and VA
guarantees. However, Moody's expects this trend to change due to
the higher level of self-curtailments by the servicers.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. Moody's took into account credit enhancement
provided by seniority, and other structural features within the
senior note waterfalls.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects the house price index to reach a bottom in the first
quarter of 2012, with a 2% remaining decline between the first
quarter of 2011 and 2012, and the unemployment rate to start
declining by fourth quarter of 2011.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "FHA VA US RMBS Surveillance Methodology"
published in July 2011.
FIRST INVESTORS: S&P Gives 'BB' Rating on Class E Notes
-------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to First Investors Auto Owner Trust 2011-2's $150 million
automobile receivables-backed notes series 2011-2.
The note issuance is an asset-backed securitization backed by
subprime auto loan receivables.
The preliminary ratings are based on information as of Oct. 3,
2011. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
"The availability of approximately 34.82%, 31.06%, 24.85%,
18.03%, and 15.47% credit support for the class A, B, C, D,
and E notes based on stressed cash flow scenarios (including
excess spread). These credit support levels provide more than
3.75x, 3.25x, 2.50x, 1.90x, and 1.55x coverage of our 8.60%-
9.10% expected cumulative net loss range for the class A, B,
C, D, and E notes," S&P related.
The timely interest and principal payments made under stressed
cash flow modeling scenarios that are appropriate to the
preliminary ratings.
"Our expectation that under a moderate, or 'BBB', stress
scenario, the ratings on the class A and B notes would not
decline by more than one rating category, which is consistent
with our rating stability criteria, and the ratings on the
class C and D notes would remain within the two-rating
category outlined in our rating stability criteria. (see
'Methodology: Credit Stability Criteria,' published May 3,
2010)," S&P related.
The collateral characteristics of the pool being securitized.
First Investors Financial Services Inc.'s (First Investors')
22-year history of originating and underwriting auto loans,
13-year history of servicing auto loans for itself and other
companies as a third-party servicer, and track record of \
securitizing auto loans since 2000.
Wells Fargo Bank N.A.'s experience as the committed back-up
Servicer.
The transaction's payment and legal structures.
Standard & Poor's 17g-7 Disclosure Report
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at
http://standardandpoorsdisclosure-17g7.com/1111176.pdf
Preliminary Ratings Assigned
First Investors Auto Owner Trust 2011-2
Class Rating Type Interest Amount
rate (mil. $)(i)
A-1 A-1+ (sf) Senior Fixed 19.900
A-2 AAA (sf) Senior Fixed 95.975
B AA (sf) Subordinate Fixed 7.875
C A (sf) Subordinate Fixed 12.000
D BBB (sf) Subordinate Fixed 11.250
E BB (sf) Subordinate Fixed 3.000
(i)The actual size of the tranches will be determined on the
pricing date.
G-FORCE 2005-RR: S&P Affirms 'CCC-' Ratings on 2 Classes of Certs.
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes of commercial mortgage-backed securities (CMBS) pass-
through certificates from G-Force 2005-RR, a U.S. resecuritized
real estate mortgage investment conduit (re-REMIC) transaction.
"At the same time, we affirmed our 'CCC- (sf)' ratings on two
additional classes from the same transaction," S&P said.
"The downgrades and affirmations primarily reflect our analysis of
the interest shortfalls affecting the transaction. Class C and all
of the classes subordinate to it did not receive full interest
according to the Sept. 22, 2011, remittance report. We lowered the
ratings on classes A-2 and B due to their susceptibility to
interest shortfalls. We downgraded classes G and H to 'D (sf)'
from 'CCC- (sf)' due to interest shortfalls that we expect will
occur for the foreseeable future. The rating actions also
considered G-Force 2005-RR's underlying CMBS collateral, as well
as the transaction structure," S&P related.
According to the Sept. 22, 2011 remittance report, remaining
accumulated interest shortfalls to the transaction totaled
$6.0 million, which affected class C and all of the classes
subordinate to it. The interest shortfalls resulted from interest
shortfalls on six of the underlying CMBS transactions primarily
due to the master servicer's recovery of prior advances, appraisal
subordinate entitlement reductions, servicers' nonrecoverability
determinations for advances, and special servicing fees.
According to the Sept. 22, 2011, trustee report, G-Force 2005-RR
is collateralized by 36 CMBS classes ($344.6 million, 100%) from
13 distinct transactions issued between 1998 and 2000.
"Standard & Poor's analyzed G-Force 2005-RR according to its
current criteria. Our analysis is consistent with the lowered and
affirmed ratings," S&P said.
Ratings Lowered
G-Force 2005-RR LLC
Commercial mortgage-backed securities pass-through certificates
Rating
Class To From
A-2 B+ (sf) BB (sf)
B B- (sf) B+ (sf)
C CCC (sf) CCC+ (sf)
D CCC- (sf) CCC (sf)
G D (sf) CCC- (sf)
H D (sf) CCC- (sf)
Ratings Affirmed
G-Force 2005-RR LLC
Commercial mortgage-backed securities pass-through certificates
Rating
E CCC- (sf)
F CCC- (sf)
GALE FORCE 1: Moody's Raises Rating of Class E Notes to 'Ba2'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Gale Force 1 CLO, Ltd.:
US$262,000,000 Class A-1 First Priority Senior Secured Floating
Rate Delayed Draw Notes Due 2017, Upgraded to Aaa (sf); previously
on June 22, 2011 Aa1 (sf) Placed Under Review for Possible
Upgrade;
US$20,000,000 Class A-2 First Priority Senior Secured Floating
Notes Due 2017, Upgraded to Aaa (sf); previously on June 22, 2011
Aa1 (sf) Placed Under Review for Possible Upgrade;
US$30,000,000 Class B-1 Second Priority Senior Secured Floating
Rate Notes Due 2017, Upgraded to Aa1 (sf); previously on June 22,
2011 Aa3 (sf) Placed Under Review for Possible Upgrade;
US$4,000,000 Class B-2 Second Priority Senior Secured Fixed Rate
Notes Due 2017, Upgraded to Aa1 (sf); previously on June 22, 2011
Aa3 (sf) Placed Under Review for Possible Upgrade;
US$22,000,000 Class C Third Priority Senior Secured Deferrable
Floating Rate Notes Due 2017, Upgraded to A2 (sf); previously on
June 22, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade;
US$16,000,000 Class D-1 Fourth Priority Mezzanine Deferrable
Floating Rate Notes Due 2017, Upgraded to Baa2 (sf); previously on
June 22, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade;
US$5,000,000 Class D-2 Fourth Priority Mezzanine Deferrable Fixed
Rate Notes Due 2017, Upgraded to Baa2 (sf); previously on June 22,
2011 Ba3 (sf) Placed Under Review for Possible Upgrade;
US$15,000,000 Class E Fifth Mezzanine Deferrable Floating Rate
Notes Due 2017 (current outstanding balance of $12,698,340),
Upgraded to Ba2 (sf); previously on June 22, 2011 Caa2 (sf)
Placed Under Review for Possible Upgrade;
US$20,000,000 Class I Combination Notes Due 2017 (current rated
balance of $1,105,441), Upgraded to Aa2 (sf); previously on
June 22, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade;
US$10,000,000 Class II Combination Notes Due 2017 (current
rated balance of $3,532,849), Upgraded to A2 (sf); previously on
June 22, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios since the rating
action in August 2009. Based on the latest trustee report dated
September 2, 2011, the Class A/B, Class C, Class D, and Class E
overcollateralization ratios are reported at 124.01%, 115.94%,
109.16% and 105.43%, respectively, versus June 2009 levels of
121.89%, 113.95%, 107.29% and 102.98%, respectively.
The actions also reflect a correction in the calculation of the
modeled overcollateralization tests. In previous rating actions,
Moody's incorrectly calculated the combined balances of the Class
B-1 Notes and Class B-2 Notes within the overcollateralization
tests. The rating action reflects this correction.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $391.6 million,
defaulted par of $0.6 million, a weighted average default
probability of 18.98% (implying a WARF of 2776), a weighted
average recovery rate upon default of 48.34%, and a diversity
score of 63. Moody's generally analyzes deals in their
reinvestment period by assuming the worse of reported and
covenanted values for all collateral quality tests. However, in
this case given the limited time remaining in the deal's
reinvestment period, Moody's analysis reflects the benefit of
assuming a higher likelihood that the collateral pool
characteristics will continue to maintain a positive "cushion"
relative to certain covenant requirements, as seen in the actual
collateral quality measurements. The default and recovery
properties of the collateral pool are incorporated in cash flow
model analysis where they are subject to stresses as a function of
the target rating of each CLO liability being reviewed. The
default probability is derived from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends and collateral manager latitude for trading the
collateral are also factors.
Gale Force 1 CLO, Ltd., issued on November 22, 2005, is a
collateralized loan obligation, backed primarily by a portfolio of
senior secured loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011 and
"Using the Structured Note Methodology to Rate CDO Combo-Notes"
published in February 2004.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
2) Other collateral quality metrics: The deal is allowed to
reinvest and the manager has the ability to deteriorate the
collateral quality metrics' existing cushions against the covenant
levels.
GALE FORCE 3: Moody's Raises Rating of Class D Notes to 'Ba1'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Gale Force 3 CLO, Ltd.:
US$300,000,000 Class A-1 First Priority Senior Secured Floating
Rate Delayed Draw Notes Due 2021, Upgraded to Aaa (sf); previously
on June 22, 2011 Aa2 (sf) Placed Under Review for Possible
Upgrade;
US$143,300,000 Class A-2 First Priority Senior Secured Floating
Rate Term Notes Due 2021, Upgraded to Aaa (sf); previously on
June 22, 2011 Aa2 (sf) Placed Under Review for Possible Upgrade;
US$32,400,000 Class B-1 Second Priority Senior Secured Floating
Rate Notes Due 2021, Upgraded to A1 (sf); previously on June 22,
2011 A3 (sf) Placed Under Review for Possible Upgrade;
US$12,000,000 Class B-2 Second Priority Senior Secured Fixed Rate
Notes Due 2021, Upgraded to A1 (sf); previously on June 22, 2011
A3 (sf) Placed Under Review for Possible Upgrade;
US$26,100,000 Class C Third Priority Senior Secured Deferrable
Floating Rate Notes Due 2021, Upgraded to Baa1 (sf); previously on
June 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade;
US$27,600,000 Class D Fourth Priority Mezzanine Deferrable
Floating Rate Notes Due 2021, Upgraded to Ba1 (sf); previously on
June 22, 2011 B1 (sf) Placed Under Review for Possible Upgrade;
US$21,600,000 Class E Fifth Priority Mezzanine Deferrable Floating
Rate Notes Due 2021, Upgraded to Ba3 (sf); previously on June 22,
2011 Caa3 (sf) Placed Under Review for Possible Upgrade;
US$7,500,000 Combination Notes Due 2021 (current rated balance of
$2,481,674), Upgraded to Ba2 (sf); previously on June 22, 2011
Caa2 (sf) Placed Under Review for Possible Upgrade;
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $589.2 million,
defaulted par of $1.8 million, a weighted average default
probability of 26.01% (implying a WARF of 3182), a weighted
average recovery rate upon default of 48.70%, and a diversity
score of 75. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Gale Force 3 CLO, Ltd., issued in 2007, is a collateralized loan
obligation, backed primarily by a portfolio of senior secured
loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011 and
"Using the Structured Note Methodology to Rate CDO Combo-Notes"
published in February 2004.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new issue
loans or other loans with longer maturities and/or participate in
amend-to-extend offerings. Moody's tested for a possible extension
of the actual weighted average life in its analysis.
2) Other collateral quality metrics: The deal is allowed to
reinvest and the manager has the ability to deteriorate the
collateral quality metrics' existing cushions against the covenant
levels. Moody's analyzed the impact of assuming the worse of
reported and covenanted values for weighted average rating factor,
weighted average spread, weighted average coupon, and diversity
score.
GREENWICH CAPITAL: S&P Cuts Ratings on 3 Classes of Certs. to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on
the class A-1FL, A-1FX, and A-2 commercial mortgage-backed
securities (CMBS) pass-through certificates from Greenwich
Capital Commercial Mortgage Trust's series 2007-RR2 (GCCMT 2007-
RR2), a U.S. resecuritized real estate mortgage investment conduit
(re-REMIC) transaction, to 'D (sf)' from 'CCC- (sf)'.
"The downgrades primarily reflect our analysis of interest
shortfalls affecting the transaction. Class A-1FL and A-1FX have
had accumulated interest shortfalls outstanding since January
2011, and class A-2 has had accumulated interest shortfalls
outstanding since August 2010. We lowered our ratings to 'D (sf)'
because we expect these shortfalls to remain outstanding for the
foreseeable future," S&P related.
According to the Sept. 21, 2011, trustee report, cumulative
interest shortfalls to the transaction totaled $19.9 million and
affect all classes. The interest shortfalls to the rated classes
of GCCMT 2007-RR2 resulted from interest shortfalls on 48 of the
underlying CMBS classes, primarily due to the master servicer's
recovery of prior advances, appraisal subordinate entitlement
reductions (ASERs), servicers' nonrecoverability determinations
for advances, and special servicing fees.
According to the Sept. 21, 2011 trustee report, GCCMT 2007-RR2 is
collateralized by 62 CMBS classes ($503.2 million, 100%) from 30
distinct transactions issued between 2005 and 2007.
"Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with our current criteria. Our
analysis is consistent with the lowered ratings," S&P said.
GREENWICH CAPITAL: S&P Lowers Rating on Class H Certs. to 'CCC-'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes of commercial mortgage pass-through certificates from
Greenwich Capital Commercial Funding Corp.'s series 2005-GG3, a
U.S. commercial mortgage-backed securities (CMBS) transaction. "In
addition, we affirmed our 'AAA (sf)' ratings on eight other
classes from the same transaction," S&P related.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. The
downgrades reflect credit support erosion that we anticipate will
occur upon the resolution of 15 ($229.2 million, 9.3%) of the 16
assets ($240.1 million, 9.8%) that are currently with the special
servicer and one loan ($3.3 million, 0.1%) that we determined to
be credit-impaired," S&P stated.
The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. "We affirmed our 'AAA
(sf)' ratings on the class XC and XP interest-only certificates
based on our current criteria," S&P said.
"Our analysis included a review of the credit characteristics of
the remaining assets in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.36x and a loan-to-value (LTV) ratio of 89.1%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted average DSC of 1.01x and an LTV ratio of
119.5%. The implied defaults and loss severity under the 'AAA'
scenario were 65.7% and 25.9%, respectively. The DSC and LTV
calculations noted exclude eight defeased loans ($98.9 million,
4.0%), 15 ($229.2 million, 9.3%) of the 16 assets ($240.1 million,
9.8%) that are currently with the special servicer, and one loan
($3.3 million, 0.1%) that we determined to be credit-impaired. We
separately estimated losses for these specially serviced and
credit-impaired assets and included them in our 'AAA' scenario
implied default and loss severity figures," S&P stated.
Credit Considerations
As of the Sept. 12, 2011, trustee remittance report, 14 assets
($226.6 million, 9.2%) in the pool were with the special servicer,
CWCapital Asset Management LLC (CWCapital). The reported payment
status of the specially serviced assets as of the September 2011
trustee remittance report is: one is real estate owned (REO;
$5.7 million, 0.2%), three are in foreclosure ($42.1 million,
1.7%), two are 90-plus-days delinquent ($17.5 million, 0.7%),
three are 30 days delinquent ($8.2 million, 0.4%), one is less
than 30 days delinquent ($18.0 million, 0.7%), two are in their
grace period ($64.2 million, 2.6%), and two are current
($70.9 million, 2.9%). Appraisal reduction amounts (ARAs) totaling
$36.2 million are in effect against 10 of the specially serviced
assets ($92.2 million, 3.8%). Details of the three largest
specially serviced assets are:
The Village at Orange loan ($60.1 million, 2.4%), the largest
asset with the special servicer, is secured by 299,933 sq. ft. of
an 855,761-sq.-ft. regional mall in Orange, Calif. The loan was
transferred to CWCapital on Aug. 19, 2011, due to imminent
maturity default. The loan, which matures on Nov. 6, 2011, has
a reported current payment status. CWCapital stated that it has
ordered an updated appraisal and is currently reviewing various
workout strategies for the loan. The reported DSC was 1.31x for
year-end 2010 and occupancy was 92.9%, according to the June 30,
2011, rent roll. "We expect a minimal loss upon the eventual
resolution of this loan," S&P said.
The Birtcher/Charlesbank Office Portfolio loan, secured by three
office buildings totaling 384,291 sq. ft. in Santa Ana, Calif.,
has a $45.5 million (1.9%) trust balance and a $50.0 million
whole-loan balance. The loan's payment status is reported to be in
its grace period. The loan was transferred to the special servicer
on Jan. 28, 2011, due to imminent monetary default. CWCapital
indicated that it is working on a loan modification with the
borrower while pursuing foreclosure. The reported DSC and
occupancy for year-end 2010 were 1.07x and 72.0%. "We expect a
moderate loss upon the eventual resolution of this loan," S&P
said.
The Groton Estates loan ($19.4 million, 0.8%) is secured by a 342-
unit garden-style multifamily apartment complex in Groton, Conn.
The loan was transferred to CWCapital on June 1, 2009, due to
imminent monetary default. CWCapital stated that it is pursuing
foreclosure and a loan sale. The reported occupancy was 90.0% as
of July 2011. An ARA of $10.5 million is in effect against the
loan. "We expect a significant loss upon the eventual resolution
of this loan," S&P said.
The 11 remaining specially serviced assets have individual
balances that represent less than 0.8% of the pooled trust
balance. ARAs totaling $25.7 million are in effect against nine of
these assets. "We estimated losses for 10 of the 11 assets,
arriving at a weighted-average loss severity of 31.7%. The
remaining asset has a current payment status and was transferred
to the special servicer on July 29, 2011, due to imminent monetary
default," S&P stated.
Furthermore, two loans ($13.5 million, 0.6%) were transferred to
the special servicer subsequent to the September 2011 trustee
remittance report, due to maturity defaults. The Sopra Centre loan
($5.3 million, 0.2%), secured by a 40,055-sq.-ft. office building
in Delray Beach, Fla., and the Eastwind Shopping Center loan
($8.2 million, 0.4%), secured by a 45,240-sq.-ft. retail property
in Las Vegas, were transferred to CWCapital on Sept. 15, 2011.
Both loans matured on Sept. 6, 2011. The reported year-end 2010
DSC and occupancy for the Sopra Centre loan were 0.39x and 58.2%.
For the Eastwind Shopping Center loan, the reported DSC and
occupancy were 1.22x and 92.0% for the six months ended June 30,
2011. "We expect moderate losses upon the eventual resolution of
these two loans," S&P said.
"In addition to the specially serviced assets, we determined the
Grove Medical Center loan ($3.3 million, 0.1%) to be credit-
impaired. The loan, secured by a 25,544-sq.-ft. medical office
building in Long Grove, Ill., matured on Sept. 1, 2011 and the
reported DSC was 1.12x for the three months ended March 31, 2011.
As a result, we view this loan to be at an increased risk of
default and loss," S&P related.
Transaction Summary
As of the Sept. 12, 2011 trustee remittance report, the collateral
pool balance was $2.46 billion, which represents 68.4% of the
balance at issuance. The pool includes 110 loans and one REO
asset, down from 142 loans at issuance. The master servicer,
Berkadia Commercial Mortgage LLC (Berkadia), provided financial
information for 98.1% of the nondefeased loans in the pool, 94.2%
of which was full-year 2010 data.
"We calculated a weighted average DSC of 1.46x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.36x and 89.1%. Our adjusted DSC and LTV
figures excluded eight defeased loans ($98.9 million, 4.0%), 15
($229.2 million, 9.3%) of the 16 assets ($240.1 million, 9.8%)
that are currently with the special servicer, and one loan
($3.3 million, 0.1%) that we determined to be credit-impaired,"
S&P stated.
"We separately estimated losses for the specially serviced and
credit-impaired assets and included them in our 'AAA' scenario
implied default and loss severity figures. The transaction has
experienced $54.2 million in principal losses from 11 assets to
date. Thirty-four loans ($683.9 million, 27.8%) in the pool are
on the master servicer's watchlist. Twenty loans ($213.7 million,
8.7%) have a reported DSC of less than 1.00x, and six loans
($75.5 million, 3.1%) have a reported DSC between 1.00x and
1.10x," S&P stated.
Summary of Top 10 Loans Secured by Real Estate
The top 10 loans secured by real estate have an aggregate
outstanding balance of $1.27 billion (51.9%). "Using servicer-
reported numbers, we calculated a weighted average DSC of 1.52x
for the top 10 nondefeased loans. Three of the top 10 nondefeased
loans ($365.9 million, 14.9%) are on the master servicer's
watchlist. Our adjusted DSC and LTV ratio for the top 10
nondefeased loans are 1.35x and 88.5%," S&P stated.
The 1440 Broadway loan, the second-largest nondefeased loan
in the pool, has a $215.2 million (8.8%) trust balance and a
$230.2 million whole-loan balance. The loan, secured by a 741,915-
sq.-ft. office building in Manhattan, is on Berkadia's watchlist
due to a reported DSC of 1.60x for year-end 2010, with 99.0%
occupancy, according to the June 30, 2011, rent roll.
The 1700 Market Street loan ($85.4 million, 3.5%), the seventh-
largest nondefeased loan in the pool, is secured by an 843,304-
sq.-ft. office building in Philadelphia. The loan is on the master
servicer's watchlist due to a low reported DSC of 1.23x for year-
end 2010 and its upcoming Nov. 6, 2011, maturity. The reported
occupancy was 83.4%, according to the March 31, 2011, rent roll.
The Doral Arrowwood Hotel loan ($65.3 million, 2.6%), the 10th-
largest nondefeased loan in the pool, is secured by a 374-room
full-service hotel in Westchester, N.Y. The loan appears on
Berkadia's watchlist due to a low reported DSC of 0.89x for year-
end 2010 and 55.4% reported occupancy as of June 2011.
Standard & Poor's stressed the collateral in the pool according to
its current criteria. "The resultant credit enhancement levels are
consistent with our lowered and affirmed ratings," S&P said.
Ratings Lowered
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2005-GG3
Rating
Class To From Credit enhancement (%)
B A+ (sf) AA- (sf) 13.14
C A- (sf) A+ (sf) 11.50
D BBB+ (sf) A- (sf) 9.12
E BBB (sf) BBB+ (sf) 7.66
F BB (sf) BBB (sf) 5.83
G B (sf) BB+ (sf) 4.37
H CCC- (sf) CCC+ (sf) 2.73
Ratings Affirmed
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2005-GG3
Class Rating Credit enhancement (%)
A-2 AAA (sf) 27.04
A-3 AAA (sf) 27.04
A-AB AAA (sf) 27.04
A-4 AAA (sf) 27.04
A-1-A AAA (sf) 27.04
A-J AAA (sf) 17.71
XC AAA (sf) N/A
XP AAA (sf) N/A
N/A -- Not applicable.
GS MORTGAGE: S&P Cuts Ratings on 3 Classes of Certificates to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
from 'CCC- (sf)' on three classes of commercial mortgage-backed
securities (CMBS) pass-through certificates from GS Mortgage
Securities Corp. II's series 2006-RR3 (GSMS 2006-RR3), a U.S.
resecuritized real estate mortgage investment conduit (re-REMIC)
transaction.
"We lowered our ratings on classes A-1, A1-S, and A-2 to reflect
our analysis of the interest shortfalls affecting the classes as
noted in the Sept. 20, 2011, trustee report. We previously lowered
our ratings on classes B through N to 'D (sf)' because we expected
the interest shortfalls to continue for the foreseeable future,"
S&P related.
According to the Sept. 20, 2011, trustee report, accumulated
interest shortfalls affecting the transaction totaled $14.8
million. The interest shortfalls on GSMS 2006-RR3 are due to
interest shortfalls affecting 21 of the underlying CMBS
transactions, primarily due to master servicer's recovery of
prior advances, appraisal subordinate entitlement reductions
(ASERs), servicers' nonrecoverability determinations for advances,
and special servicing fees. "We lowered our ratings on classes A-
1, A1-S, and A-2 to 'D (sf)' because we expect these interest
shortfalls to continue for the foreseeable future," S&P said.
According to the Sept. 20, 2011, trustee report, GSMS 2006-RR3 is
collateralized by 58 CMBS classes ($726.1 million, 100%) from 34
distinct transactions issued between 2004 and 2006.
"We analyzed the transaction and its underlying collateral assets
according to our current criteria. Our analysis is consistent with
the lowered ratings," S&P related.
Ratings Lowered
GS Mortgage Securities Corp. II
Commercial mortgage-backed securities pass-through certificates
series
2006-RR3
Rating
Class To From
A-1 D (sf) CCC- (sf)
A1-S D (sf) CCC- (sf)
A-2 D (sf) CCC- (sf)
HARRISBURG AUTHORITY: Moody's Reviews 'Ba1' Rating for Downgrade
----------------------------------------------------------------
Moody's Investors Service has placed the Ba1 rating for Harrisburg
Authority's $69.4 million Water Refunding Bonds, Series 2008 under
review for possible downgrade. The bonds are secured by net
revenues of the authority's water system. Moody's does not
maintain a rating on the City of Harrisburg's general obligation
debt.
SUMMARY RATING RATIONALE
The review for possible downgrade reflects the lack of sufficient
financial information for Moody's to accurately opine on the water
system's current credit quality. The review for possible downgrade
reflects the authority's lack of 2009 and 2010 audited financial
statements. If Moody's does not obtain these audits within the
next 30 days, we will take appropriate rating action which could
include the withdrawal or lowering of the rating.
STRENGTHS
-- Approximately 50% of annual revenues held in additional
reserves above debt service reserve funds
-- Frequent monitoring of revenues and expenses by management
WEAKNESSES
-- Uncertainty surrounding annual administrative charges to city
-- Uncertain liquidity position given a lack of audited
financial statements
-- Political unwillingness to raise water rates
-- Declining debt service coverage levels
-- Management of operations and billing by distressed City of
Harrisburg
WHAT COULD MOVE THE RATING (UP):
-- Improved financial operations at city level
-- Implementation of financial recovery solution for city and
resource recovery facility that does not negatively impact
water system operations
WHAT COULD MOVE THE RATING (DOWN):
-- Actions related to the city's financial distress or recovery
that could negatively affect the water system's operations
-- Narrowing of water system's financial debt service coverage
or liquidity
The principal methodology used in this rating was "Analytical
Framework for Water and Sewer Ratings," published in October 2004.
Please see the Credit Policy page on www.moodys.com for a copy of
this methodology.
INA CBO 1999-1: Fitch Withdraws 'Dsf' Rating on $26-Mil. Notes
--------------------------------------------------------------
Fitch Ratings has downgraded and withdrawn the rating of one class
of notes issued by INA CBO 1999-1, Ltd./Corp. (INA CBO 1999-1) as:
-- $26,813,163 class A-3 notes downgraded to 'Dsf' from
'Csf/RR6' and withdrawn.
The transaction's final maturity date occurred on Sept. 30, 2011,
at which time the class A-2 and class A-2F (collectively, class A-
2) notes were paid in full and the class A-3 notes received their
full interest payment along with approximately $13.2 million of
principal. The class A-3 notes have defaulted since they have not
paid their full principal amount by the final maturity date. The
rating of the A-3 notes is withdrawn due to the default of the
tranche.
The transaction had been in an Event of Default (EOD) for several
years due to the failure of a certain overcollateralization (OC)
test. As a result of the EOD, the manager was unable to sell any
portfolio holdings. A default appeared inevitable on the class A-
2 and A-3 notes since the combined balance of the class A-2 notes
($3.3 million at Fitch's last review in April 2011) exceeded the
amount of performing assets scheduled to mature by the maturity
date ($1.5 million). However, a notice sent by the trustee dated
Sept. 19, 2011, indicated that the requisite noteholders had
waived the EOD. The waiving of the EOD enabled the manager to
liquidate the portfolio holdings at a value of almost $18 million.
These proceeds were distributed to the notes at the final maturity
date, causing the class A-2 notes to be paid in full and the class
A-3 notes to receive a partial principal payment.
INA CBO 1999-1 was a cash flow collateralized debt obligation
(CDO) that closed on Sept. 16, 1999. INA CBO 1999-1 entered an
EOD in September 2002, due to the failure to maintain all OC
ratios at levels at least equal to 90% of their required triggers.
The transaction was managed by J.P. Morgan Asset Management.
JP MORGAN: Fitch Puts Rating on 3 2011-C5 Note Classes at Low-B
---------------------------------------------------------------
Fitch Ratings has assigned these ratings and Outlooks to J.P.
Morgan Chase Commercial Mortgage Securities Trust 2011-C5:
-- $49,765,000 class A-1 'AAAsf'; Outlook Stable;
-- $199,727,000 class A-2 'AAAsf'; Outlook Stable;
-- $405,850,000 class A-3 'AAAsf'; Outlook Stable;
-- $65,448,000 class A-SB 'AAAsf'; Outlook Stable;
-- $807,027,000 class X-A* 'AAAsf'; Outlook Stable;
-- $86,237,000# class A-S 'AAAsf'; Outlook Stable;
-- $51,485,000# class B 'AAsf'; Outlook Stable;
-- $39,901,000# class C 'Asf'; Outlook Stable;
-- $65,644,000# class D 'BBB-sf'; Outlook Stable;
-- $12,871,000# class E 'BBsf'; Outlook Stable;
-- $9,010,000# class F 'B+sf'; Outlook Stable;
-- $16,732,000# class G 'B-sf'; Outlook Stable.
* Notional amount and interest only.
# Privately place pursuant to Rule 144A.
Fitch does not rate the $27,029,910# class NR or the $222,672,910#
interest only class X-B*.
JP MORGAN: Stable Performance Cues Fitch to Affirm Ratings
----------------------------------------------------------
Fitch Ratings affirms 11 classes of JP Morgan Chase Commercial
Mortgage Securities Trust commercial mortgage pass through
certificates, series 2010-C2.
The affirmations are due to stable performance of the collateral
and sufficient credit enhancement to the Fitch rated classes. As
of the September 2011 distribution date, the pool's certificate
balance has paid down 1.1% to $1.09 billion from $1.1 billion at
issuance.
There are currently 30 loans collateralized by 47 properties.
There are no loans in special servicing or defeased loans.
The largest loan (15.9%) in the pool is Arizona Mills, which is
collateralized by a 1.2 million square foot (sf) regional mall
located in Tempe, AZ near Phoenix. The property is anchored by
J.C. Penney Outlet, Harkin Theaters, Burlington Coat Factory and
Sports Authority. Occupancy as of June 2011 was 91.3%. At
issuance, rollover risk was a concern as approximately 33% of the
net rentable area (NRA) will expire through 2012, including some
anchor tenants. However, several of these tenants have been at
the property since opening in 1997 with lease extension options.
Additionally, the loan is low levered with an amortizing
structure. The sponsors are Simon Property Group, Farallon
Capital Management and the Taubman Realty Group.
Fitch affirms these classes:
-- $253.1 million class A-1 at 'AAAsf'; Outlook Stable;
-- $243.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $390.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $886.8 million* class X-A at 'AAAsf'; Outlook Stable;
-- $37.2 million class B at 'AAsf'; Outlook Stable;
-- $53.7 million class C at 'Asf'; Outlook Stable;
-- $33 million class D at 'BBB+sf'; Outlook Stable;
-- $22 million class E at 'BBB-sf'; Outlook Stable;
-- $16.5 million class F at 'BBsf'; Outlook Stable;
-- $13.8 million class G at 'Bsf'; Outlook Stable;
-- $2.8 million class H at 'B-sf'; Outlook Stable.
*Notional amount and interest only.
Fitch does not rate the interest-only class X-B and the
$22 million class NR.
JPMCC 2011-C5: Moody's Gives Definitive Ba2 Rating to Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to thirteen classes
of CMBS securities, issued by JPMCC Commercial Mortgage Trust
2011-C5, Commercial Mortgage Pass-Through Certificates, Series
2011-C5.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Definitive Rating Assigned Aaa (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)
Cl. X-B, Definitive Rating Assigned Aaa (sf)
Cl. A-S, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba2 (sf)
Cl. F, Definitive Rating Assigned B1 (sf)
Cl. G, Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
The Certificates are collateralized by 44 fixed rate loans secured
by 209 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.65X is higher than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.12X is higher than the 2007 conduit/fusion transaction
average of 0.92X. Moody's Trust LTV ratio of 94.3% is lower than
the 2007 conduit/fusion transaction average of 110.6%.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach. With respect to
loan level diversity, the pool's loan level Herfindahl score is
18.4. The transaction's loan level diversity is lower than the
band of Herfindahl scores found in most multi-borrower
transactions issued since 2009. With respect to property level
diversity, the pool's property level Herfindahl score is 25.6. The
transaction's property diversity profile is higher than the
indices calculated in most multi-borrower transactions issued
since 2009.
This deal has a super-senior Aaa class with 30% credit
enhancement. Although the additional enhancement offered to the
senior most certificate holders provides additional protection
against pool loss, the super-senior structure is credit negative
for the certificate that supports the super-senior class. If the
support certificate were to take a loss, the loss would have the
potential to be quite large on a percentage basis. Thin tranches
need more subordination to reduce the probability of default in
recognition that their loss-given default is higher. This
adjustment helps keep expected loss in balance and consistent
across deals. The transaction was structured with additional
subordination at class A-S to mitigate the potential increased
severity to class A-S.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 2.1, which is in the
band of average grades found in previously rated conduit and
fusion securitizations.
The principal methodology used in this rating was "Moody's
Approach to U.S. CMBS Conduit Transactions" published in September
2000.
Moody's analysis employs the excel-based CMBS Conduit Model v2.50
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship and diversity.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 14%, or 23%, the model-indicated rating for the currently
rated Super Senior Aaa classes and the rated Aaa A-S class would
be Aaa and Aa1, respectively; Aaa and Aa2, respectively; and Aa1
and A1, respectively. Parameter Sensitivities are not intended to
measure how the rating of the security might migrate over time;
rather they are designed to provide a quantitative calculation of
how the initial rating might change if key input parameters used
in the initial rating process differed. The analysis assumes that
the deal has not aged. Parameter Sensitivities only reflect the
ratings impact of each scenario from a quantitative/model-
indicated standpoint. Qualitative factors are also taken into
consideration in the ratings process, so the actual ratings that
would be assigned in each case could vary from the information
presented in the Parameter Sensitivity analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of, Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
JPMORGAN CHASE: S&P Lowers Ratings on 4 Classes of Certs. to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20, a
U.S. commercial mortgage-backed securities (CMBS) transaction.
"Concurrently, we affirmed our ratings on seven other classes from
the same transaction," S&P said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. The
downgrades reflect credit support erosion that we anticipate will
occur upon the eventual resolution of 10 ($195.8 million, 8.0%) of
the 11 assets ($204.7 million, 8.4%) that are currently with the
special servicer. We also considered the monthly interest
shortfalls that are affecting the trust and potential additional
interest shortfalls associated with the specially serviced assets.
We lowered our ratings to 'D (sf)' on the class K, L, M, and N
certificates because we expect interest shortfalls to continue and
the accumulated interest shortfalls to remain outstanding for the
foreseeable future," S&P related.
The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. "We affirmed our 'AAA
(sf)' ratings on the class X-1 and X-2 interest-only (IO)
certificates based on our current criteria," S&P said.
"Our analysis included a review of the credit characteristics of
all of the remaining assets in the pool using our conduit/fusion
criteria. Using servicer-provided financial information, we
calculated an adjusted debt service coverage (DSC) of 1.27x and a
loan-to-value (LTV) ratio of 123.8%. We further stressed the
loans' cash flows under our 'AAA' scenario to yield a weighted
average DSC of 0.73x and an LTV ratio of 166.9%. The implied
defaults and loss severity under the 'AAA' scenario were 94.2%
and 42.9%. The DSC and LTV calculations noted above exclude 10
($195.8 million, 8.0%) of the 11 specially serviced assets
($204.7 million, 8.4%). We separately estimated losses for the 10
specially serviced assets and included them in our 'AAA' scenario
implied default and loss severity figures," S&P stated.
As of the Sept. 12, 2011 trustee remittance report, the trust had
experienced monthly interest shortfalls totaling $310,170, due
primarily to appraisal subordinate entitlement reduction (ASER)
amounts of $214,889 (net of ASER recovery this period of $73,310),
as well as special servicing fees ($47,905), and nonrecoverable
advance amount ($33,332) related to one asset ($5.9 million,
0.2%). The interest shortfalls affected all classes subordinate to
and including class K. "The class K, L, M, and N certificates
experienced accumulated interest shortfalls between three and
seven months, and we expect these interest shortfalls to continue
in the near term. Consequently, we lowered our ratings on these
classes to 'D (sf)'," S&P said.
Credit Considerations
As of the Sept. 12, 2011, trustee remittance report, 11
assets ($204.7 million, 8.4%) in the pool are with the special
servicer, C-III Asset Management (C-III). The reported payment
status of the specially serviced assets as of the September 2011
trustee remittance report is: two are real estate owned (REO;
$34.7 million, 1.4%), six are in foreclosure ($111.1 million,
4.6%), and three are 90-plus days delinquent ($58.9 million,
2.4%). Appraisal reduction amounts (ARAs) totaling $60.0 million
are in effect against nine of the specially serviced assets.
Details of the three largest specially serviced assets, two of
which are top 10 loans, are:
The STF Portfolio loan ($49.0 million, 2.0%) is the
ninth-largest asset in the pool and the largest asset with the
special servicer. The loan is secured by 19 industrial flex and
warehouse/distribution properties totaling 1.2 million sq. ft.
in Texas (17 properties) and New Mexico (two properties). The
properties were built between 1982 and 2001. The loan was
transferred to the special servicer on Aug. 5, 2010, due to
payment default. The payment status of the loan is reported to be
90-plus-days delinquent. C-III indicated that it is pursuing
foreclosure. An ARA of $15.9 million is in effect against the
loan. The reported combined DSC and occupancy for the loan were
0.94x and 88.0% as of year-end 2010. Standard & Poor's expects a
moderate loss upon the eventual resolution of this loan.
The Baldwin Park Retail loan ($40.7 million, 1.7%) is the 10th-
largest asset in the pool and the second-largest specially
serviced asset. The loan is secured by a first mortgage
encumbering the fee interest in a 182,463-sq.-ft. Publix-anchored
retail property in Orlando, Florida. The loan, which has a
reported 90-plus-days delinquent payment status, was transferred
to the special servicer on June 15, 2010, due to imminent monetary
default. C-III indicated that it is pursuing foreclosure. A
$13.8 million ARA is in effect against the loan. The reported DSC
and occupancy for the loan were 0.67x and 74.0%, respectively, as
of year-end 2010. Standard & Poor's expects a moderate loss upon
the eventual resolution of this loan.
The International Aluminum Portfolio loan ($38.5 million, 1.6%) is
the third-largest specially serviced asset. The loan is secured by
seven warehouse/distribution properties totaling 757,266 sq. ft.
in California, Arizona, Illinois, Texas, and South Carolina. The
loan, which has a reported 90-plus-days delinquent payment status,
was transferred to the special servicer on June 6, 2011, due to
imminent monetary default. C-III indicated that it is pursuing
foreclosure. The reported combined DSC and occupancy for the loan
were 1.59x and 100.0% as of year-end 2010. "However, C-III
informed us that the sole tenant at each of the seven properties
has filed for bankruptcy. Standard & Poor's expects a moderate
loss upon the eventual resolution of this loan," S&P stated.
The eight remaining assets with the special servicer have
individual balances that represent less than 1.0% of the pooled
trust balance. ARAs totaling $30.3 million are in effect against
seven of the assets. "We estimated losses for seven of these
assets, arriving at a weighted-average loss severity of 50.9%.
The 599 Broadway loan ($8.9 million, 0.4%) is the eight loan with
the special servicer. The 599 Broadway loan was transferred to the
special servicer on Nov. 4, 2010, due to payment default.
According to the master servicer, the loan is in a grace period.
The reported DSC and occupancy for the loan were 1.56x and 98.0%
as of year-end 2009," S&P said.
Transaction Summary
As of the Sept. 12, 2011 trustee remittance report, the collateral
pool had an aggregate trust balance of $2.44 billion, which is
down slightly from $2.54 billion at issuance. The pool consists
of 123 loans and two REO assets, down from 143 loans at issuance.
The master servicer, Midland Loan Services (Midland) provided
financial information for 96.5% of the assets in the pool, 6.2%
was partial- or full-year 2009 data, and the remainder was
partial- or full-year 2010 or partial-2011 data.
"We calculated a weighted average DSC of 1.37x for the loans in
the pool based on the servicer-reported figures. Our adjusted
DSC and LTV were 1.27x and 123.8%. Our adjusted figures exclude
10 ($195.8 million, 8.0%) of the 11 specially serviced assets
($204.7 million, 8.4%). We separately estimated losses for these
10 specially serviced assets and included them in our 'AAA'
scenario implied default and loss severity figures. The
transaction has experienced $45.1 million in principal losses from
12 assets to date. Forty-four loans ($676.5 million, 27.7%) in the
pool are on the master servicer's watchlist, including one of the
top 10 loans. Thirty-nine loans ($622.4 million, 25.5%) have a
reported DSC of less than 1.10x, of which 25 of these loans
($313.3 million, 12.8%) have a reported DSC of less than 1.0x,"
S&P said.
Summary Of Top 10 Assets
The top 10 assets have an aggregate outstanding balance of
$1.20 billion (49.4%). "Using servicer-reported numbers, we
calculated a weighted average DSC of 1.47x for the top 10 assets.
One of the top 10 assets ($141.2 million, 5.8%) is on the master
servicer's watchlist. Our adjusted DSC and LTV for the top 10
assets are 1.28x and 124.8%," S&P said.
The North Hills Mall loan ($141.2 million, 5.8%) is the third-
largest asset in the pool and the largest asset on the master
servicer's watchlist. The loan is secured by a first mortgage
encumbering the fee interest on a 585,798-sq.-ft. lifestyle
center in Raleigh, N.C. The property was constructed in 1960 and
redesigned in 2004. The loan appears on the master servicer's
watchlist because of a low reported DSC. The loan's reported
payment status was current. The reported DSC and occupancy for the
loan were 1.05x and 95.4% as of year-end 2010, compared with 1.00x
and 97.6%, respectively, as of year-end 2009.
Standard & Poor's stressed the loans in the pool according to its
conduit/fusion criteria. The resultant credit enhancement levels
are consistent with the lowered and affirmed ratings.
Ratings Lowered
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M BBB- (sf) BBB (sf) 19.00
A-MFX BBB- (sf) BBB (sf) 19.00
A-J BB-(sf) BB+ (sf) 12.74
B B+ (sf) BB (sf) 11.44
C B+ (sf) BB- (sf) 10.40
D B (sf) B+ (sf) 9.23
E B (sf) B+ (sf) 8.31
F B- (sf) B+ (sf) 7.40
G B- (sf) B+ (sf) 6.36
H CCC (sf) B (sf) 4.93
J CCC- (sf) B (sf) 3.62
K D (sf) B- (sf) 2.45
L D (sf) CCC+ (sf) 1.15
M D (sf) CCC+ (sf) 0.76
N D (sf) CCC (sf) 0.50
Ratings Affirmed
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 29.42
A-3 AAA (sf) 29.42
A-4 A+ (sf) 29.42
A-SB A+ (sf) 29.42
A-1A A+ (sf) 29.42
X-1 AAA (sf) N/A
X-2 AAA (sf) N/A
N/A -- Not applicable.
JPMORGAN CHASE: S&P Lowers Rating on Class K Certificates to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 11
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP12, a
U.S. commercial mortgage-backed securities (CMBS) transaction.
"Concurrently, we affirmed our ratings on six other classes from
the same transaction," S&P related.
"Our rating actions primarily reflect our analysis of the
transaction using our U.S. CMBS conduit/fusion criteria. Our
analysis included a review of the credit characteristics of all of
the remaining assets in the pool, the transaction structure, and
the liquidity available to the trust. The downgrades reflect
credit support erosion that we anticipate will occur upon the
eventual resolution of 15 ($288.3 million, 11.7%) of the 16
($312.5 million, 12.7%) specially serviced assets and five
($214.1 million, 8.7%) loans that we determined to be credit-
impaired. We also considered the monthly interest shortfalls that
are affecting the trust and the potential additional interest
shortfalls associated with the specially serviced assets. We
lowered our rating on class K to 'D (sf)' because we expect the
interest shortfalls to continue and because we believe the
accumulated interest shortfalls on this class will remain
outstanding for the foreseeable future," S&P related.
The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. "We affirmed our 'AAA
(sf)' rating on the class X interest-only (IO) certificate based
on our current criteria," S&P said.
"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.32x and a loan-to-value
(LTV) ratio of 122.5%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted average DSC of 0.78x
and an LTV ratio of 177.2%. The implied defaults and loss severity
under the 'AAA' scenario were 91.6% and 47.1%. The DSC and LTV
calculations noted above exclude 15 ($288.3 million, 11.7%) of
the transaction's 16 ($312.5 million, 12.7%) specially serviced
assets and five ($214.1 million, 8.7%) loans that we determined to
be credit-impaired. We separately estimated losses for these
specially serviced and credit-impaired assets and included them in
our 'AAA' scenario implied default and loss severity figures," S&P
related.
As of the Sept. 15, 2011, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $400,456,
primarily related to appraisal subordinate entitlement reduction
(ASER) amounts of $317,706, special servicing fees of $67,361, and
the modification of the Marriott Overland Park loan of $57,730The
total monthly interest shortfalls this period were offset by an
ASER recovery of $43,603. The interest shortfalls affected all
classes subordinate to and including class K. Class K has had
accumulated interest shortfalls outstanding for eight consecutive
months. "We expect these interest shortfalls to continue in the
near term, and consequently, we lowered our rating on this class
to 'D (sf)'," S&P said.
Credit Considerations
As of the Sept. 15, 2011, trustee remittance report, 16
($312.5 million, 12.7%) assets in the pool were with the
special servicer, C-III Asset Management LLC (C-III). The
reported payment status of the specially serviced assets as
of the September 2011 trustee remittance report is: two are real
estate owned (REO; $73.1 million, 3.0%), one ($33.1 million, 1.3%)
is in foreclosure, six ($56.2 million, 2.3%) are 90-plus-days
delinquent, two ($32.2 million, 1.3%) are 30 days delinquent, and
five ($117.9 million, 4.8%) are less than 30 days delinquent.
Appraisal reduction amounts (ARAs) totaling $56.3 million are in
effect for nine of the specially serviced assets. Details of the
three largest specially serviced assets are:
The St. Joe-Windward Plaza loan ($47.6 million, 1.9%) is the 12th-
largest asset in the pool and the largest specially serviced
asset. The loan is secured by two suburban office buildings
totaling 335,498 sq. ft. in Alpharetta, Ga. The loan was
transferred to the special servicer on Nov. 16, 2010, due to
imminent default. The reported payment status of the loan is less
than 30 days delinquent. The reported DSC for this loan was 1.40x
as of Dec. 31, 2009. Effective Sept. 5, 2011, C-III completed a
modification on this loan and four other related specially
serviced loans totaling $70.3 million (2.9%) that involves an A/B
note structure. "Based on the most recent appraisal for the office
building, we expect a moderate loss upon the eventual resolution
of this loan," S&P related.
The Sheraton Gunter asset ($40.0 million, 1.6%) is the 15th-
largest asset in the pool and the second-largest specially
serviced asset. The asset, a 322-room lodging property in San
Antonio, Texas, was transferred to the special servicer on
Oct. 12, 2010, due to payment default and became REO on May 3,
2011. C-III stated that a third-party hotel operator is managing
the property. The reported DSC as of the 12 months ended June 30,
2010, was 0.94x. An ARA of $11.2 million is in effect against this
asset. "Based on the most recent broker's opinion of value, we
expect a moderate loss upon the eventual resolution of this
asset," S&P said.
The Comfort Inn-San Diego Zoo asset ($33.1 million, 1.3%), the
third-largest specially serviced asset, consists of a 200-room
lodging property in San Diego, Calif. The asset was transferred to
special servicing on Jan. 7, 2010, due to payment default and
became REO on June 30, 2011. The reported DSC and occupancy were
0.93x and 77.6% for year-end 2010. An ARA of $16.7 million is in
effect against this asset. "Based on the most recent appraisal and
broker's opinions of value, we expect a significant loss upon
the eventual resolution of this asset," S&P said.
The remaining 13 specially serviced assets have balances that
individually represent less than 1.4% of the total pool balance.
ARAs totaling $28.4 million are in effect against seven of these
assets. "We estimated losses for 12 of these assets, arriving at a
weighted-average loss severity of 44.5%. C-III indicated that it
is working on a loan modification and lease approval with the
borrower for the remaining asset," S&P stated.
"In addition to the specially serviced assets, we determined five
loans ($214.1 million, 8.7%) to be credit-impaired due to low
reported DSCs and/or rolling leases. Details of the three largest
credit-impaired loans, all of which are top 10 loans and on the
master servicer's watchlist, are:
The Ten Penn Center loan ($69.0 million, 2.8%) is the fifth-
largest asset in the pool and the second-largest loan on the
master servicer's watchlist. The loan is secured by a 670,857-sq.-
ft. office building in Philadelphia. The reported DSC and
occupancy were 1.63x and 84.0% for year-end 2010. The loan, which
matures on Nov. 9, 2011, is on the master servicer's watchlist
because the largest tenant, which occupies 23.1% of the net
rentable area, indicated that it will not renew its lease when it
expires on Aug. 31, 2012. "As a result, we view this loan to be at
an increased risk of default and loss," S&P related.
The Overlook III loan ($66.7 million, 2.7%) is the seventh-largest
asset in the pool. The loan is secured by a 438,709-sq.-ft. office
building in Atlanta, Ga. The loan appears on the master servicer's
watchlist due to a low reported DSC, which was 0.73x as of Dec.
31, 2010. Reported occupancy was 72.0% according to the March 31,
2011, rent roll. "As a result, we view this loan to be at an
increased risk of default and loss," S&P related.
The 7000 Central Park loan ($65.0 million, 2.7%) is the eighth-
largest asset in the pool. The loan is secured by a 415,324-sq.-
ft. office building in Atlanta, Ga. The loan appears on the master
servicer's watchlist due to a low reported DSC, which was 0.63x as
of Dec. 31, 2010. The reported occupancy at the building was 81.8%
as of May 31, 2011, rent roll. "As a result, we view this loan to
be at an increased risk of default and loss," S&P stated.
"We determined two additional loans ($13.4 million, 0.54%) to be
credit-impaired due to low DSCs. As a result, we view these loans
to be at an increased risk of default and loss," S&P related.
Transaction Summary
As of the Sept. 15, 2011 trustee remittance report, the total pool
balance was $2.46 billion, which is 98.1% of the pool balance at
issuance. The pool includes 155 loans and two REO assets, down
from 163 loans at issuance. The master servicer, Wells Fargo Bank
N.A. (Wells Fargo), provided financial information for 95.8% of
the assets in the pool, the majority of which was full-year 2010
data (84.7%), with the remainder reflecting partial- or full-year
2009, 2010, or 2011 data.
"We calculated a weighted average DSC of 1.48x for the assets in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.32x and 122.5%. Our adjusted DSC and LTV
figures excluded 15 ($288.3 million, 11.7%) of the transaction's
16 ($312.5 million, 12.7%) specially serviced assets and five
($214.1 million, 8.7%) loans that we determined to be credit-
impaired. We separately estimated losses for the specially
serviced and credit-impaired assets and included them in our 'AAA'
scenario implied default and loss severity figures. To date, the
transaction has experienced $21.7 million in principal losses in
connection with six assets. Thirty-seven loans ($722.1 million,
29.4%) in the pool are on the master servicer's watchlist. Thirty-
eight loans ($807.3 million, 32.8%) have a reported DSC of less
than 1.10x, 25 of which ($523.2 million, 21.3%) have a reported
DSC of less than 1.00x," S&P stated.
Summary Of Top 10 Assets
The top 10 assets have an aggregate outstanding balance of
$868.4 million (35.4%). "Using servicer-reported numbers, we
calculated a weighted average DSC of 1.83x for the top 10 assets.
Our adjusted DSC and LTV ratio for the top 10 assets are 1.35x and
130.8%, respectively. Four of the top 10 assets ($270.2 million,
11.0%) are on the master servicer's watchlist, three of which
($200.7 million, 8.2%)," S&P stated.
The remaining top 10 loan on the master servicer's watchlist, the
Hard Rock Hotel-Chicago loan ($69.5 million, 2.8%), is the fourth-
largest asset in the pool and the largest loan on the master
servicer's watchlist. The loan, secured by a 381-room full-service
hotel in Chicago, appears on the master servicer's watchlist due
to a low reported DSC; for year-end 2010, DSC was 0.63x and the
reported occupancy was 61.0%.
Standard & Poor's stressed the assets in the pool according to its
current criteria. "The resultant credit enhancement levels are
consistent with our lowered and affirmed ratings," S&P related.
Ratings Lowered
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP12
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M BB+ (sf) BBB- (sf) 19.50
A-J B (sf) BB- (sf) 11.47
B B- (sf) B+ (sf) 10.58
C B- (sf) B+ (sf) 9.44
D CCC+ (sf) B (sf) 8.54
E CCC (sf) B (sf) 8.03
F CCC- (sf) B- (sf) 7.01
G CCC- (sf) B- (sf) 5.87
H CCC- (sf) CCC+ (sf) 4.72
J CCC-(sf) CCC (sf) 3.57
K D (sf) CCC- (sf) 2.43
Ratings Affirmed
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP12
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 29.70
A-3 A- (sf) 29.70
A-4 A- (sf) 29.70
A-SB A- (sf) 29.70
A-1A A- (sf) 29.70
X AAA (sf) N/A
N/A -- Not applicable.
JPMORGAN-CIBC COMMERCIAL: S&P Cuts Rating on Class A-2 to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes of commercial mortgage-backed securities (CMBS) pass-
through certificates from JPMorgan-CIBC Commercial Mortgage-Backed
Securities Trust 2006-RR1 (JPM 2006-RR1), a U.S. resecuritized
real estate mortgage investment conduit (re-REMIC) transaction.
The downgrade to class A-1 reflect the transaction's exposure to
downgraded CMBS collateral. The downgraded collateral is 32
securities from 19 transactions, totaling $189.5 million (38.6% of
the total asset balance). JPM 2006-RR1 has exposure to these
securities that Standard & Poor's has downgraded:
GS Mortgage Securities Trust 2006-GG6 (classes H, J, and K;
$24 million, 4.9%);
Wachovia Bank Commercial Mortgage Trust series 2006-C24
(classes H, J, and K; $19.5 million, 4%);
ML-CFC Commercial Mortgage Trust 2006-1 (classes G and H;
$16 million, 3.3%); and
Wachovia Bank Commercial Mortgage Trust series 2005-C22 (class
H; $15 million, 3.1%).
"The downgrade to class A-2 reflects our analysis of the interest
shortfalls affecting the transaction. We lowered our rating on the
class to 'D (sf)' due to interest shortfalls that we expect will
continue for the foreseeable future," S&P related.
"We previously downgraded classes B through L to 'D (sf)' to
reflect interest shortfalls that we expected to continue for
the foreseeable future. Classes G through L have since incurred
principal losses equal to 100% of their principal balance
($30.1 million)," S&P said.
According to the Sept. 21, 2011, trustee report, cumulative
interest shortfalls to the transaction totaled $9.2 million and
affected class A-1 and the classes subordinate to it. The interest
shortfalls resulted from interest shortfalls on the underlying
CMBS transactions primarily due to the master servicer's recovery
of prior advances, appraisal subordinate entitlement reductions
(ASERs), servicers' nonrecoverability determinations for advances,
and special servicing fees.
According to the Sept. 21, 2011, trustee report, JPM 2006-RR1 is
collateralized by 81 CMBS classes ($490.9 million, 100%) from 53
distinct transactions issued between 2002 and 2006.
"Standard & Poor's analyzed the transaction and its underlying
collateral according to our current criteria. Our analysis is
consistent with the lowered ratings," S&P said.
Ratings Lowered
JPMorgan-CIBC Commercial Mortgage-Backed Securities Trust 2006-RR1
Rating
Class To From
A-1 CCC- (sf) CCC+ (sf)
A-2 D (sf) CCC- (sf)
LEAF RECEIVABLES: DBRS Assigns 'B' Rating to Class E-2 Notes
-------------------------------------------------------------
DBRS has assigned provisional ratings to these classes issued by
LEAF Receivables Funding 7, LLC - Equipment Contract Backed Notes,
Series 2011-2:
-- Series 2011-1, Class A-2 Notes rated R-1 (high) (sf)
-- Series 2011-1, Class A-2 Notes rated AAA (sf)
-- Series 2011-1, Class B Notes rated AA (sf)
-- Series 2011-1, Class C Notes rated 'A' (sf)
-- Series 2011-1, Class D Notes rated BBB (high) (sf)
-- Series 2011-1, Class E-1 Notes rated BBB (sf)
-- Series 2011-1, Class E-2 Notes rated BB (sf)
MARIAH RE: S&P Lowers Rating on Series 2010-1 Notes to 'CCC'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Mariah Re
Ltd.'s Series 2010-1 Notes to 'CCC(sf)' from 'CCC+(sf)' and at the
same time revised the CreditWatch status on the notes to negative
from developing.
"On June 27, 2011, we lowered the rating on Mariah Re Ltd.'s
Series 2010-1 notes to 'CCC+(sf)' from 'B(sf)' and revised the
CreditWatch status to developing. We indicated that future rating
actions would depend on the occurrence and magnitude of subsequent
covered events. We published an update on Sept. 6," S&P related.
Since Sept. 6, Mariah Re reported losses related to one new
covered event (Catastrophe Series 58), and updated the loss
amounts for Catastrophe Series 38, 45, 46, 53, and 55. The current
sum of reported covered losses is $790.15 million. Given an
initial attachment level of $825 million, $34.85 million of
covered losses can be incurred before there is a reduction in the
outstanding principal balance.
There was one other event -- Catastrophe Series 60 -- but the loss
amount related to this event was $9.84 million, which is just less
than the $10 million threshold for a qualifying event. "We have
been told the loss amount for this event has been finalized.
Regarding the covered events to date, the loss amounts related to
Catastrophe Series 42, 45, 46, 48, 53, 54, 55, and 58 have not
been finalized," S&P related.
"We expect to receive additional updates for some or all of these
events by the end of October and will take rating action as
necessary," S&P said.
Ratings List
Ratings Lowered To From
Mariah Re Ltd.
Series 2010-1 notes CCC(sf)/Watch Neg CCC+(sf)/Watch Dev
MORGAN STANLEY: S&P Cuts Ratings on 2 Classes of Certs. to 'CCC-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 17
classes of commercial mortgage pass-through certificates from
Morgan Stanley Capital I Trust 2008-TOP29, a U.S. commercial
mortgage-backed securities (CMBS) transaction. "In addition, we
affirmed our 'AAA (sf)' ratings on five other classes from the
same transaction," S&P said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. Our
analysis included a review of the credit characteristics of all
of the loans in the pool, the transaction structure, and the
liquidity available to the trust. Our analysis also considered the
fact that, by balance, 56.6% of the pool collateral is currently
in an interest-only (IO) period (either partial IO or full IO),"
S&P related.
"Our analysis included a review of the credit characteristics of
the remaining assets in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.33x and a loan-to-value (LTV) ratio of 107.0%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted average DSC of 0.87x and an LTV ratio of
156.7%. The implied defaults and loss severity under the 'AAA'
scenario were 90.9% and 40.1%. Our adjusted DSC and LTV figures
excluded one asset ($7.1 million, 0.6%) that is currently with the
special servicer. We separately estimated a loss for the specially
serviced asset and included it in our 'AAA' scenario implied
default and loss severity figures," S&P stated.
The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. "We affirmed our 'AAA
(sf)' rating on the class X IO certificate based on our current
criteria," S&P related.
Credit Considerations
As of the Sept. 13, 2011, trustee remittance report, one asset in
the pool, the Cotton Lane Retail Center ($7.1 million, 0.6%), was
with the special servicer, C-III Asset Management LLC (C-III). The
Cotton Lane Retail Center is a 36,844-sq.-ft. unanchored retail
center in Surprise, Ariz. The asset was transferred to C-III on
Oct. 15, 2010, due to imminent default. According to C-III, the
property entered foreclosure on Aug. 31, 2011; however, there is
no set sale date for the real estate owned (REO) asset. "An
appraisal reduction amount (ARA) of $1.5 million is in effect, and
we expect a moderate loss upon the eventual resolution of this
asset," S&P related.
By balance, 56.6% of the pool collateral is currently in its IO
period (either partial IO or full IO). Upon expiration of the IO
period, the associated debt service obligation will increase,
possibly placing these assets at an increased risk of default and
loss.
Transaction Summary
As of the Sept. 13, 2011, trustee remittance report, the
collateral pool balance was $1.2 billion, or 96.9% of the balance
at issuance. The pool includes 80 loans and one REO asset, down
from 82 loans at issuance. The master servicer, Wells Fargo Bank
N.A., provided financial information for 98.7% of the loans in the
pool, 97.0% of which was full-year 2010 data.
"We calculated a weighted average DSC of 1.33x for the assets in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.33x and 107.0%. Our adjusted DSC and LTV
figures excluded one asset ($7.1 million, 0.6%) that is currently
with the special servicer. We separately estimated a loss for the
specially serviced asset and included it in our 'AAA' scenario
implied default and loss severity figures. To date, the
transaction has experienced one principal loss of $6.5 million.
Twenty loans ($206.4 million, 17.3%) in the pool are on the master
servicer's watchlist. Ten loans ($205.2 million, 17.2%) have a
reported DSC of less than 1.10x, eight of which ($83.3 million,
7.0%) have a reported DSC of less than 1.00x," S&P stated.
Summary Of Top 10 Loans
The top 10 loans have an aggregate outstanding balance of $613.3
million (51.3%). "Using servicer-reported numbers, we calculated a
weighted average DSC of 1.27x for the top 10 loans. One of the top
10 loans ($33.1 million, 2.8%) is on the master servicer's
watchlist. Our adjusted DSC and LTV ratio for the top 10 loans are
1.27x and 112.9%," S&P related.
The Arena Hub Shopping Center loan, the eighth-largest loan in the
pool, has a $33.1 million (2.8%) trust balance. The loan, secured
by a 291,623-sq.-ft. anchored retail center in Wilkes-Barre, Pa.,
is on the master servicer's watchlist because one of the tenants,
book retailer Barnes & Noble (8.0% of net rentable area [NRA]),
is part of an industry that is currently encountering challenges.
The loan's reported payment status is current. The reported
occupancy was 100%, according to the March 31, 2011, rent roll,
and the loans had a DSC of 1.44x at year-end 2010.
Standard & Poor's stressed the collateral in the pool according to
its current criteria. "The resultant credit enhancement levels are
consistent with our lowered and affirmed ratings," S&P said.
Ratings Lowered
Morgan Stanley Capital I Trust 2008-TOP29
Commercial mortgage pass-through certificates series 2008-TOP29
Rating
Class To From Credit enhancement (%)
A-4 A+ (sf) AA (sf) 27.31
A-4FL A+ (sf) AA (sf) 27.31
A-M BBB (sf) A- (sf) 16.99
A-J BB+ (sf) BBB (sf) 10.93
B BB (sf) BBB- (sf) 9.26
C BB- (sf) BB+ (sf) 8.35
D B+ (sf) BB (sf) 6.55
E B+ (sf) BB- (sf) 5.51
F B (sf) B+ (sf) 4.35
G B- (sf) B+ (sf) 3.19
H B- (sf) B (sf) 2.29
J B- (sf) B (sf) 2.16
K CCC+ (sf) B (sf) 1.77
L CCC (sf) B (sf) 1.65
M CCC (sf) B- (sf) 1.52
N CCC- (sf) B- (sf) 1.13
O CCC- (sf) CCC+ (sf) 0.74
Ratings Affirmed
Morgan Stanley Capital I Trust 2008-TOP29
Commercial mortgage pass-through certificates series 2008-TOP29
Class Rating Credit enhancement (%)
A-1 AAA (sf) 27.31
A-2 AAA (sf) 27.31
A-3 AAA (sf) 27.31
A-AB AAA (sf) 27.31
X AAA (sf) N/A
N/A -- Not applicable.
NORTH CAROLINA: Fitch Affirms Rating on $15.9 Mil. Bonds at 'BB+'
-----------------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings has affirmed
these North Carolina Medical Care Commission bonds issued on
behalf of Halifax Regional Medical Center (HRMC):
-- $15.9 million hospital revenue bonds, series 1998 affirmed at
'BB+'.
The Rating Outlook is revised to Negative from Stable.
The bonds are secured by a pledge of gross receipts, a negative
mortgage lien, and a debt service reserve.
Adequate Liquidity Levels: HRMC maintained adequate liquidity
levels for the rating category; however, future capital needs will
likely limit growth over the near term.
Moderate Debt Burden: During fiscal year 2011 HRMC added
$6.5 million to its debt portfolio to finance capital
expenditures; however, its overall debt burden is manageable
for the rating level.
Weakened Profitability: HRMC's operating performance has weakened
through the 11-month interim period ended Aug. 31, 2011, due to
declining utilization and a challenging payor mix.
Payor Mix Erosion: An ongoing credit concern is the continued
shift in payor mix from commercial insurers to Medicaid and self-
pay coupled with increasing levels of bad debt that have
suppressed revenue growth.
Service Area Leadership: HRMC's position as a sole community
hospital (SCH) remains a key credit strength as evidenced by its
66% market share within its service area.
Negative Volume Trends: Ongoing declines in HRMC's utilization
levels which lead to flat to declining revenues would likely
result in negative rating action.
Further Drop in Profitability: A decline in profitability below
current levels, or balance sheet deterioration would result in
further negative rating action.
The Rating Outlook revision to Negative is driven primarily by
demonstrable erosion in operating profitability, due in part to
weak utilization trends and a challenging payor mix. Following
strong fiscal 2010 performance, HRMC generated a negative 0.8%
operating margin and 3.9% EBITDA margin through Aug. 31, 2011.
While revenues are outpacing the prior year by 2.5%, expenses are
also up 6.2% due in part to an increase of 3.8% in salary/wage
expenses (largely from physician recruitment) and 17.8% increase
in bad debt expense in 2011. Bad debt expense was a very high
19.9% of revenues through August 2011, ahead of 17.3% in fiscal
2010 and well ahead of Fitch's non-investment grade median of
8.7%. HRMC is budgeting for a return to positive operations in
fiscal 2012 with a 1.0% operating margin, which Fitch believes
could be challenging given the hospital's negative trends in
volume and payor mix.
HRMC's payor mix remains a key credit concern, as it reflects
high (and increasing) levels of Medicaid and self-pay. Through
the interim period, Medicaid was a high 19.3% of gross revenues,
ahead of 18.5% in fiscal 2010. Fitch notes that HRMC also
receives Medicaid Disproportionate Share (DSH) payments, which
are expected to decline to $1.31 million in fiscal 2011, following
$2.21 million in fiscal 2010. As an SCH, HRMC also received
$1.5 million in additional Medicare revenue in fiscal 2010. Fitch
believes that as the future of the Medicaid DSH and SCH-related
revenues is uncertain, this presents significant risk to HRMC's
revenue base going forward.
Approximately $8.5 million in total capital expenditures
is planned for fiscal 2012, including a $6.5 million
expansion/renovation of HRMC's surgical space. HRMC took on a
$6.5 million fixed-rate loan with BB&T to finance this project,
with a seven-year term (ends in 2018) and 22-year amortization.
The loan is on parity with HRMC's revenue bonds, and will be used
to finance a 3,000 square foot renovation and expansion to its
surgical suite, and expand related parking. Including the loan,
total long-term debt is estimated at $20.8 million. At Aug. 31,
2011, debt to EBITDA was 5.0x and debt to capitalization was
40.6%, against Fitch's non-investment grade medians of 5.0x debt
to EBITDA and 53% debt to capitalization.
HRMC's maximum annual debt service (MADS) coverage by EBITDA
(estimated at $1.65 million including the bank loan) was 2.5
times (x) through the 11-month interim period ended Aug. 31,
2011, a significant drop from 4.9x in fiscal 2010. MADS was
a manageable 1.5% of revenues in the interim period, slightly
better than 1.6% in fiscal 2010. Still, Fitch notes that HRMC
also had $1.4 million in operating lease expense in fiscal 2010,
a sizeable expense when coupled with annual debt requirements.
HRMC's liquidity is adequate for the rating, providing for some
flexibility against operational volatility. At Aug. 31, 2011 HRMC
had $20.9 million in unrestricted cash, equating to 91.5 days of
cash on hand (DCOH), a 12.6x cushion ratio and 100.6% cash to
debt. While a decline from the 105 DCOH and 13.0x cushion ratio
at fiscal year end 2010, HRMC's liquidity ratios remain sufficient
for its rating level. However, given its inconsistent operating
performance, any material deterioration in HRMC's liquidity would
likely pressure the rating.
HRMC is a 204 licensed-bed community medical center (144 operated
beds) providing primary and secondary care services. The medical
center is located in Roanoke Rapids, approximately 75 miles
northeast of Raleigh. In fiscal 2010, HRMC had $104.7 million in
total operating revenue.
Disclosure to Fitch has been adequate with quarterly disclosure,
although only audited annual disclosure is required in the bond
documents. HRMC provides disclosure upon request to other third
parties. Fitch notes that quarterly disclosure includes a balance
sheet and income statements; however, a statement of cash flows
and management discussion and analysis is not provided.
NUCO2 FUNDING: Moody's Assigns Definitive Ratings to Third Series
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings of
Baa2(sf) to the Series 2011-1 Senior Notes, Class A-1 (Series
2011-1 Senior Notes) which were co-issued by NuCO2 Funding LLC,
acting as Master Issuer, and its direct wholly-owned subsidiaries
(collectively, the Securitization Entities). The transaction's
Sponsors are NuCO2 Inc. and its direct wholly-owned subsidiary,
NuCO2 Florida Inc., which in turn directly wholly-owns the Master
Issuer. Collectively, the Sponsors, the Securitization Entities
and their affiliate, NuCO2 Management LLC who acts as transaction
manager and employee company, comprise the enterprise, NuCO2.
NuCO2's primary business is providing beverage grade carbon
dioxide (CO2) and equipment for storage, blending and dispensing
thereof, to vendors of carbonated fountain beverages including
quick service restaurants, convenience stores, theaters and event
venues nationally.
This transaction is the third issuance from the Securitization
Entities under a whole business securitization structure. The
Series 2011-1 Senior Notes have an anticipated repayment date
(ARD) or expected final maturity date in September 2016 and a
legal final maturity date in September 2041. Moody's outstanding
rated transactions include the Series 2008-1 Class A-1, A-2 and A-
3 Senior Notes and the Series 2010-1 Class A-1 Senior Notes
(collectively the Existing Senior Notes and, together with the
Series 2011-1 Senior Notes, the Senior Notes).
Moody's also announced that (1) the issuance of the Series 2011-1
Senior Notes and (2) the second amended and restated Delaware
limited liability company agreements dated as of September 30,
2011 for each of the Securitization Entities and NuCO2 Management
LLC (the "Amendments"), in and of themselves, will not result in a
reduction, withdrawal, or placement under review for possible
downgrade of the ratings currently assigned to the Existing Senior
Notes at this time. The Amendments primary purpose is to
strengthen the bankruptcy remoteness protections of the
Securitization Entities and NuCO2 Management LLC. However, Moody's
ratings address only the credit risks associated with the
transaction. Other non-credit risks have not been addressed, but
may have significant effect on yield and/or other payments to
investors. This press release should not be taken to imply that
there will be no adverse consequence for investors since in some
cases such consequences will not impact the rating.
As NuCO2's Master Manager, NuCO2 Florida Inc.'s main function is
to own, control and manage the operations of the Securitization
Entities. The Master Manager retains NuCO2's leadership team.
Other key parties providing oversight to the transaction include
U.S. Bank National Association which acts as the Administrative
Agent and Alvarez & Marsal North America LLC which acts as the
Replacement Manager.
The complete rating action is:
Master Issuer: NuCO2 Funding LLC, Series 2011-1
$50,000,000 5.703% Senior Notes, Cl. A-1, Assigned Baa2(sf)
RATING RATIONALE
The Senior Notes are collateralized by essentially all of the
tangible and intangible assets comprising the business of the
NuCO2 on a pari passu basis. The ratings on the Senior Notes are
based primarily on the following factors: (i) stable cash flows
anticipated to be generated by the securitized assets, consisting
primarily of a revolving highly diversified pool of equipment
leases and CO2 supply contracts and agreements entered into with
chain and quick service restaurants, convenience stores and other
establishments serving carbonated fountain beverages to consumers;
and the associated "Bulk CO2" equipment installed on premises;
(ii) expected long-term demand for carbonated fountain beverages;
(iii) market share, business model and competitive position of
NuCO2 as managed by the Master Manager, which represents the only
dedicated and largest national provider of Bulk CO2 to the
fountain beverage industry; (iv) debt leverage ratios, including:
(a) total gross senior debt-to-adjusted pro forma consolidated
EBITDA ($78.6 million) of 5.34x, and (b) total gross senior debt-
to-securitized net cash flows ($78.5 million) of 5.35x (these
ratios are based on the last twelve months ending March 31, 2011
and assume that the Series 2008-1 C1ass A-2 and A-3 Senior Notes,
which are variable funding notes, are fully drawn regardless of
their commitment availability); (v) payment structure including
Early Amortization Events which provide for early termination of
the five-year interest only period, and turbo structure which
applies all available cash flow after payment of operating
expenses and interest on the Senior Notes to the payment of
principal pro rata among the Senior Notes; (vi) liquid credit
enhancement in the form of cash in a reserve account sufficient to
cover six months of interest on the aggregate outstanding Senior
Notes, subject to adjustment thereafter, funded at closing from
proceeds and from time to time thereafter from excess cash flow
and/or equity contributions from the Sponsors; (vii) experience
and expertise of NuCO2's senior management team provided by NuCO2
Florida Inc. as Master Manager; (viii) presence of an
Administrative Agent and a Replacement Manager to provide ongoing
transaction oversight and to mitigate operational risks relating
to the managerial responsibilities of the Master Manager; and (ix)
legal structure intended to isolate the operational risk
associated with performing services and providing goods under the
contracts and agreements from the bankruptcy risk of the Master
Manager; such protections include a bankruptcy remote transaction
manager, NuCO2 Management LLC, which provides the personnel that
run NuCO2's day to day business operations.
Moody's ratings address the timely payment of interest and the
repayment of principal by the legal final maturity date and do not
cover the repayment of principal by the ARD. Moody's ratings also
do not cover the payment of any make-whole premium which may be
due to the note holders upon certain mandatory or optional
prepayments, or any contingent additional interest which may be
due to the extent notes remain outstanding after the ARD.
V-SCORE AND PARAMETER SENSITIVITIES
Moody's V Score. The V Score for this transaction is Medium-High.
This V Score indicates medium-high uncertainty about critical
assumptions. Moody's V Scores provide a relative assessment of the
quality of available credit information and the potential
variability around the various inputs to a rating determination.
The V Score ranks transactions by the potential for significant
rating changes owing to uncertainty around the assumptions that
underlie the ratings within the categories of data quality,
historical performance and the level of disclosure for each of the
asset class sector and the issuer; transaction complexity,
analytical modeling and the market value risk; transaction
governance, backup servicing, alignment of interests and legal,
regulatory and other risks. V Scores apply to the entire
transaction (rather than individual tranches). While the overall
score is Medium-High, significant deviations from 'Medium' within
the individual categories include the following: transaction
complexity risk and analytic complexity risk, which is judged to
be Medium-High; legal, regulatory and other risks, which is
Medium-High due to the limited history of whole business
securitization structures and lack of legal test; alignment of
interests risk which is Low, due to the totality of the collateral
package and the substantial amount of business value in excess of
the debt; issuer historic performance variability, which is
Medium-Low based on historical performance; ongoing securitization
performance disclosure, which is Medium based on completeness of
ongoing reporting; and market value sensitivity, which is Medium-
Low due to low exposure to asset liquidation events giving rise to
market value risk, since the rated notes are repaid via cash flow
in almost any scenario.
Moody's Parameter Sensitivities. Moody's analyzed the potential
model-indicated output impact under different stress scenarios for
two key variables: (a) likelihood of an economic transformative
event causing NuCO2's business model to be temporarily less
profitable (an Industry Default), and (b) impact of a Master
Manager default.
An Industry Default is an event beyond the control of the Master
Manager and is posited as a possibility without specifying any
particular mechanism or cause. A simulated Industry Default drops
the contract growth rate (i.e., increases attrition) by 10% per
annum for three straight years and triggers a permanent increase
in the transaction's variable servicing fee (the increase is equal
to 15 percentage points of net revenue) through the transaction's
remaining life. The likelihood an Industry Default is specified by
reference to Moody's rating tables, and in the base case is Ba1.
Moody's stresses the Industry Default variable by lowering its
assumed rating, which results in higher default frequency, to B1
and B3.
Although the precise impact of a Master Manager default is
unknown, Moody's stresses the impact by assuming greater declines
in renewal rates and greater increases in attrition to Moody's
base case. Moody's base case assumes that following a Master
Manager Default (1) the contract renewal rate will experience a
one-time reduction that is uniformly distributed with parameters
of (10%, 20%) and (2) the contract growth rate will experience
ongoing annual attrition that follows a triangular distribution
with minimum, mode and maximum of (-5%, -2%, 0) (whereas before
the Master Manager default the contract attrition rate fluctuates
positively and negatively around zero). Therefore, by stressing
Moody's base case by 10% percentage points, following a Master
Manager Default, the uniform distribution for the one-time
reduction in contract renewal rates increases to (20%, 30%) and
the distribution of ongoing contract attrition rates increases to
(-15%, -12%, -10%).
Our parameter sensitivity results are as follows: (i) assuming an
Industry Default likelihood assumption of Ba1, the Series 2011-1
Senior Notes Baa2 model output remains unchanged if following a
Master Manager Default Moody's applies either Moody's base case
parameters for the one-time contract renewal haircut and ongoing
annual contract attrition rate or a 10 percentage point increase
in such base case parameters, but if such base case is stressed by
an additional 15 percentage points, the model output lowers by one
notch to a Baa3; (ii) assuming an Industry Default likelihood
assumption of B1, the Series 2011-1 Senior Notes Baa2 model output
remains unchanged if following a Master Manager Default Moody's
applies either Moody's base case parameters for the one-time
contract renewal haircut and ongoing annual contract attrition
rate, but if such base case is stressed by an additional 10 or 15
percentage points, the model output, respectively, lowers by two
notches to a Ba1 or three notches to a Ba2; and (iii) assuming an
Industry Default likelihood assumption of B3, the Series 2011-1
Senior Notes Baa2 model output remains unchanged following a
Master Manager default under Moody's base case parameters for the
one-time contract renewal haircut and ongoing annual contract
attrition rate, but if such base case is stressed by an additional
10 or 15 percentage points, the model output, respectively, lowers
by three notches to a Ba2 or four notches to a Ba3.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
PRINCIPAL METHODOLOGY
Moody's analyzes cash flows of the proposed transaction and
evaluates their sufficiency to make timely interest payments on
the notes and repay the principal by the legal final maturity date
using a simulation-based approach. Moody's identifies key drivers
of the cash flows and estimate their expected value over the
course of the transaction as well as the probability distribution
around that value. Moody's derives expected revenues and expenses
and distributions based on the analysis of historical performance
trends of the collateral business. In this case, Moody's analyzed
the transaction utilizing a cash flow model which generates cash
flows for the business which are then fed into the securitized
issuance structure. The expense base was allocated into fixed and
variable components as previously described. Variables were then
inserted into the model to simulate the potential dynamics of the
business. The yield on the resulting simulated cash flows of the
Senior Notes was calculated for each of thousands of simulation
iterations, and the average yield reduction relative to the
promised coupon for the rated notes was determined. The average
yield reduction was then compared to Moody's benchmark reduction
for the requested rating.
Key assumptions and variables simulated included the following:
(A) Contract growth rates: (i) annual renewal rates for maturing
contracts assumed to be a triangular distribution ranging from 85%
to 95% non-renewal (ii) annual net attrition rates (attrition for
existing non-maturing contracts plus growth for new contracts)
ranging from -2% (shrinkage) to +3% (growth) with a no credit for
or a severe haircut to contractual early termination payments; (B)
Product usage: growth of 1% per annum; (C) Product pricing: zero
growth in CPI/PPI (inflation tends to benefit cash flows due to
contract provisions); and D) Transaction life: despite the
transaction's 30-year legal final maturity date, no credit was
given to cash flows after year 20; however a stressed liquidation
value was assigned to the related Bulk CO2 tanks in year 20 in
light of their tangible asset value.
Two additional default variables were overlaid to these variables:
(A) Master Manager risk: the Master Manager was assumed to default
at any time during the life of the transaction, with a probability
consistent with a low non-investment grade rating. Upon the
occurrence of default and thereafter, the distribution of annual
net attrition rates is reduced by a range of -5% to zero (i.e., no
net growth, only shrinkage or flatline) for the remainder of the
transaction life. (B) Industry risk: positing that other events
might possibly occur unrelated to a Master Manager default, an
industry risk event was added which was assumed to occur with a
probability consistent with a high non-investment rating. A
simulated industry default drops the contract growth rate (i.e.,
increases attrition) by 10% per annum for three straight years and
triggers a permanent increase in the transaction's variable
servicing fee (the increase is equal to 15 percentage points of
net revenue) through the transaction's remaining life.
The results in terms of reduction in average yield were consistent
with the rating. Several of the key stresses and assumptions were
tested. Moody's additionally considered default frequency as well
as expected loss on the notes in deciding the ratings. Moody's
also factored into its rating other traditional metrics such as
leverage multiples (particularly debt to adjusted pro forma EBITDA
and debt to securitized net cash flow) and debt service coverage
ratios.
OSPREY CDO: Moody's Raises Rating of Class B-1L Notes to 'Ba1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Osprey CDO 2006-1 Ltd.:
US$184,000,000 Class A-1LA Floating Rate Notes Due 2022 (current
balance of $158,570,299), Upgraded to Aaa (sf); previously on
June 22, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade;
US$28,000,000 Class A-1LB Floating Rate Notes Due 2022 (current
balance of $24,670,420), Upgraded to Aa1 (sf); previously on
June 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade;
US$34,000,000 Class A-2L Floating Rate Notes Due 2022, Upgraded to
Aa3 (sf); previously on June 22, 2011 B1 (sf) Placed Under Review
for Possible Upgrade;
US$15,000,000 Class A-3L Floating Rate Notes Due 2022, Upgraded to
A3 (sf); previously on June 22, 2011 Caa1 (sf) Placed Under Review
for Possible Upgrade;
US$10,000,000 Class B-1L Floating Rate Notes Due 2022 (current
balance of $9,373,000), Upgraded to Ba1 (sf); previously on
June 22, 2011 Caa3 (sf) Placed Under Review for Possible Upgrade;
US$9,000,000 Class B-2L Floating Rate Notes Due 2022 (current
balance of $8,006,725), Upgraded to Ba3 (sf); previously on
June 22, 2011 Ca (sf) Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios since the rating action in February
2011. Based on the August 2011 trustee report, the weighted
average rating factor is currently 2028 compared to 2584 in
December 2010. Moody's notes that the overcollateralization ratios
of the rated notes have improved in part due a decrease in the
number of defaulted CLO tranches. A number of CLO tranches were
defaulted and carried at depressed market values in the rating
action in February 2011 but are currently treated as performing
securities due to improved credit qualities. In particular, the
Class B-2L overcollateralization ratio has increased substantially
as a result of lower ratings based haircuts on CLO tranches. Based
on August 2011 trustee report, the Class A, Class B-1L, and Class
B-2L overcollateralization ratios are reported at 120.83%,
116.15%, and 106.15%, respectively, versus December 2010 levels of
117.37%, 112.91%, and 99.63%, respectively, and all
overcollateralization ratios are currently in compliance.
Additionally, all deferred interest on the Class B2-L Notes have
been paid in full.
Moody's also notes that the transaction is exposed to a
significant concentration of mezzanine and junior CLO tranches.
Based on the August 2011 trustee report, CLO Securities currently
held in the portfolio total about $110.7 million, accounting for
approximately 39.2% of the collateral balance. Moody'sconsidered a
lower diversity score due to the high correlation between the CLO
tranches and the corporate obligors in the portfolio.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $283 million, no
defaulted securities, a weighted average default probability of
17.02% (implying a WARF of 2244), a weighted average recovery rate
upon default of 42.1%, and a diversity score of 36. Moody's
generally analyzes deals in their reinvestment period by assuming
the worse of reported and covenanted values for all collateral
quality tests. However, in this case given the limited time
remaining in the deal's reinvestment period, Moody's analysis
reflects the benefit of assuming a higher likelihood that the
collateral pool characteristics will continue to maintain a
positive "cushion" relative to certain covenant requirements, as
seen in the actual collateral quality measurements. The default
and recovery properties of the collateral pool are incorporated in
cash flow model analysis where they are subject to stresses as a
function of the target rating of each CLO liability being
reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Osprey CDO 2006-1 Ltd., issued in December of 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans and CLO securities.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011. In addition, due to the large
concentration of CLO tranches in the portfolio, CDOROM 2.8 was
used to simulate a default distribution that was then applied as
an input in the cash flow model.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
A source of additional performance uncertainties are CLO Tranches:
There is a large concentration of mezzanine and junior CLO
tranches in the underlying portfolio. These tranches could be
volatile during times of market turmoil due to their leveraged
nature. The deal could be also impacted by the timing and pace of
delevering in the underlying CLO tranches.
PETRA CRE CDO: Moody's Affirms Rating of Cl. B Notes at 'B3'
------------------------------------------------------------
Moody's has affirmed the ratings of eleven classes of Notes issued
by Petra CRE CDO 2007-1, Ltd. The affirmations are due to the key
transaction parameters performing within levels commensurate with
the existing ratings levels. The rating action is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation and collateralized loan obligation
(CRE CDO CLO) transactions.
Cl. A-1, Affirmed at Aaa (sf); previously on Nov 3, 2010 Confirmed
at Aaa (sf)
Cl. A-2, Affirmed at Baa1 (sf); previously on Nov 3, 2010
Downgraded to Baa1 (sf)
Cl. B, Affirmed at B3 (sf); previously on Nov 3, 2010 Downgraded
to B3 (sf)
Cl. C, Affirmed at Caa3 (sf); previously on Nov 3, 2010 Downgraded
to Caa3 (sf)
Cl. D, Affirmed at Caa3 (sf); previously on Nov 3, 2010 Downgraded
to Caa3 (sf)
Cl. E, Affirmed at Caa3 (sf); previously on Nov 3, 2010 Downgraded
to Caa3 (sf)
Cl. F, Affirmed at Caa3 (sf); previously on Nov 3, 2010 Downgraded
to Caa3 (sf)
Cl. G, Affirmed at Caa3 (sf); previously on Nov 3, 2010 Downgraded
to Caa3 (sf)
Cl. H, Affirmed at Ca (sf); previously on Nov 3, 2010 Downgraded
to Ca (sf)
Cl. J, Affirmed at Ca (sf); previously on Nov 3, 2010 Downgraded
to Ca (sf)
Cl. K, Affirmed at Ca (sf); previously on Nov 3, 2010 Downgraded
to Ca (sf)
RATINGS RATIONALE
Petra CRE CDO 2007-1, Ltd. is a revolving cash CRE CDO CLO
transaction backed by a portfolio of A-notes and whole loans
(45.2% of the pool balance), mezzanine loans (21.3%), commercial
mortgage backed securities (CMBS) (10.6%), B-notes (7.8%), real
estate investment trust (REIT) debt (6.2%), CRE CDO (6.2%) and
preferred equity (2.7%). As of the September 26, 2011 Trustee
report, the aggregate Note balance of the transaction, including
preferred shares, has decreased to $722.7 million from
$1,000.0 million at issuance, with the paydown directed to the
Class A-1 Notes, as a result of amortization of the underlying
collateral, partial cancellation of the senior most Note and
failing the Class C/D/E and the Class F/G/H overcollateralization
ratios.
There are seventeen assets with a par balance of $402.3 million
(49.7% of the current pool balance) that are considered Defaulted
Securities as of the September 26, 2011 Trustee report. Nine of
these assets (61.9% of the defaulted balance) are either A-Notes
or whole loans, three assets (14.6%) are mezzanine loans, one
asset (12.4%) is REIT, two assets (8.2%) are B-notes and two
assets (2.9%) are CMBS. While there have been limited realized
losses on the underlying collateral to date, Moody's does expect
significant losses to occur once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 8,903 compared to 9,039 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (0.8% compared to 3.6% at last review), A1-A3
(0.8% compared to 1.8% at last review), Baa1-Baa3 (3.6% compared
to 1.8% at last review), Ba1-Ba3 (3.2% compared to 2.9% at last
review), B1-B3 (1.5% compared to 0.0% at last review), and Caa1-C
(90.1% compared to 89.9% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 6.5 years, the same
as that at last review. The current modeled WAL incorporates
updated assumptions about the remaining reinvestment period.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
26.5% compared to 36.0% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 99.9%, the same as that at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
26.5% to 16.5% or up to 36.5% would result in an average modeled
rating movement on the rated tranches of 5 to 9 notches downward
and 3 to 5 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current sluggish macroeconomic environment and performance
in the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors are
tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. The availability of debt capital continues to improve
with terms returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
PPLUS TRUST: Moody's Lowers Rating of $35-Mil. Notes to 'B3'
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of these
certificates issued by PPLUS Trust Series LMG-4:
$35,000,000 PPLUS 6.70% Class A Trust Certificates; Downgraded to
B3; Previously on July 1, 2010 B1, Placed on Review for Possible
Downgrade
$35,000,000 Notional Principal PPLUS 1.55% Class B Trust
Certificates; Downgraded to B3; Previously on July 1, 2010 B1,
Placed on Review for Possible Downgrade
RATINGS RATIONALE
The transaction is a structured note whose ratings are based on
the ratings of the Underlying Securities and the legal structure
of the transaction. The rating actions are a result of the change
of the rating of 8.25% Senior Debentures due 2030 issued by
Liberty Media Corporation which were downgraded by Moody's on
September 22, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
PPLUS TRUST: Moody's Lowers Rating of Cl. A Certificates to 'B3'
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of these
certificates issued by PPLUS Trust Series LMG-3:
PPLUS 7.00% Class A Trust Certificates; Downgraded to B3;
Previously on July 1, 2010 B1, Placed on Review for Possible
Downgrade
PPLUS 1.25% Class B Trust Certificates; Downgraded to B3;
Previously on July 1, 2010 B1, Placed on Review for Possible
Downgrade
RATINGS RATIONALE
The transaction is a structured note whose ratings are based on
the ratings of the Underlying Securities and the legal structure
of the transaction. The rating actions are a result of the change
of the rating of 8.25% Senior Debentures due 2030 issued by
Liberty Media Corporation which were downgraded to B3 by Moody's
on September 22, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
PREFERREDPLUS TRUST: Moody's Lowers Rating of $31-Mil. Notes to B3
------------------------------------------------------------------
Moody's Investors Service has downgraded the rating of these
certificates issued by PREFERREDPLUS Trust Series LMG-2:
$31,000,000 PREFERREDPLUS 8.50% Trust Certificates; Downgraded to
B3; Previously on July 1, 2010 B1, Placed on review for possible
downgrade
RATINGS RATIONALE
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of 8.50% Debentures due 2029 issued by Liberty Media
Corporation which were downgraded to B3 by Moody's on
September 22, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
PREFERREDPLUS TRUST: Moody's Lowers Rating of $125.8MM Notes to B3
------------------------------------------------------------------
Moody's Investors Service has downgraded the rating of these
certificates issued by PREFERREDPLUS Trust Series LMG-1:
$125,875,000 PREFERREDPLUS 8.75% Trust Certificates; Downgraded to
B3; Previously on July 1, 2010 B1, Placed on review for possible
downgrade
RATINGS RATIONALE
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of 8.25% Senior Debentures due 2030 issued by Liberty Media
Corporation which were downgrade to B3 by Moody's on September 22,
2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
RFC CDO: Moody's Upgrades Rating of Cl. A-2 Notes to 'Ba2'
----------------------------------------------------------
Moody's has upgraded the ratings of two and affirmed the ratings
of eight classes of Notes issued by RFC CDO 2006-1, Ltd.,
primarily due to additional $85.1 million in full amortization to
the Class A-1 Notes, interest swap maturations which will generate
increased cash flow to the Notes in the current interest rate
environment, while no significant changes in the Moody's weighted
average rating factor (WARF) since last review. The affirmations
are due to key transaction parameters performing within levels
commensurate with the existing ratings levels. The rating action
is the result of Moody's on-going surveillance of commercial real
estate collateralized debt obligation and collateralized loan
obligation (CRE CDO CLO) transactions.
Cl. A-1, Upgraded to A1 (sf); previously on Oct 5, 2010 Downgraded
to Baa1 (sf)
Cl. A-2, Upgraded to Ba2 (sf); previously on Oct 5, 2010
Downgraded to B2 (sf)
Cl. B, Affirmed at Caa1 (sf); previously on Oct 5, 2010 Downgraded
to Caa1 (sf)
Cl. C, Affirmed at Caa2 (sf); previously on Oct 5, 2010 Downgraded
to Caa2 (sf)
Cl. D, Affirmed at Ca (sf); previously on Oct 5, 2010 Downgraded
to Ca (sf)
Cl. E, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to
C (sf)
Cl. F, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to
C (sf)
Cl. G, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to
C (sf)
Cl. J, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to
C (sf)
Cl. K, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to
C (sf)
RATINGS RATIONALE
RFC CDO 2006-1, Ltd. is a static (the reinvestment period ended in
April 2011) CRE CDO CLO. As of the August 19, 2011 Trustee report,
the transaction is backed by a portfolio of whole loans (54.8% of
the pool balance), mezzanine loans (18.4%), commercial mortgage
backed securities (CMBS) (20.2%) and B-Notes (6.6%). The aggregate
Note balance of the transaction, including preferred shares, has
decreased to $427.1 million from $600 million at issuance, due to
approximately $172.9 million in pay-downs to the Class A-1 Notes,
which represents additional $85.1 million pay-down since last
review. The pay-down was triggered as the combination of principal
repayment of assets, resolutions and sales of assets, and the
failure of the Class C, Class D, Class E, Class F, and Class G
Overcollateralization Tests.
There are twenty-one assets with a par balance of $159.4 million
(39.1% of the current pool balance) that are considered Impaired
Collateral Interests as of the August 19, 2011 Trustee report,
compared to twenty-two assets with 34.2% of the pool balance at
last review.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has updated credit estimates for the non-Moody's rated
collateral. The bottom-dollar WARF is a measure of the default
probability within a collateral pool. Moody's modeled a bottom-
dollar WARF of 6,876 compared to 6,951 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (0.0% compared to 1.0% at last review), A1-A3
(3.6% compared to 1.9% at last review), Baa1-Baa3 (6.4% compared
to 6.5% at last review), Ba1-Ba3 (9.0% compared to 8.2% at last
review), B1-B3 (4.3% compared to 7.6% at last review), and Caa1-C
(76.7% compared to 74.8% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 2.3 years compared
to 2.4 at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
37.9% compared to 33.4% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 10.7% compared to 8.5% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
37.9% to 27.9% or up to 47.9% would result in average rating
movement on the rated tranches of 0 to 4 notches downward and 0 to
6 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current sluggish macroeconomic environment and performance
in the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors are
tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. The availability of debt capital continues to improve
with terms returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
SANDELMAN FINANCE: Moody's Upgrades Rating of Cl. D Notes to 'Ba2'
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Sandelman Finance 2006-2 Ltd.:
US$53,000,000 Class B Third Priority Senior Subordinate Deferrable
Notes Due 2019 (current outstanding balance of $40,110,844),
Upgraded to Baa1 (sf); previously on June 22, 2011 Baa3 (sf)
Placed Under Review for Possible Upgrade;
US$66,000,000 Class C Fourth Priority Junior Subordinate
Deferrable Notes Due 2019 (current outstanding balance of
$57,407,230), Upgraded to Baa3 (sf); previously on June 22, 2011
Ba3 (sf) Placed Under Review for Possible Upgrade;
US$17,500,000 Class D Fifth Priority Junior Subordinate Notes Due
2019, Upgraded to Ba2 (sf); previously on June 22, 2011 B3 (sf)
Placed Under Review for Possible Upgrade.
Moody's also confirmed the rating of these notes:
US$71,000,000 Class A-2 Second Priority Senior Notes Due 2019,
Confirmed at Aa2 (sf); previously on June 22, 2011 Aa2 (sf) Placed
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios and delevering of the
Class B Notes and Class C Notes since the rating action in August
2009. Based on the trustee report dated July 15, 2011, the Class A
and Class B/C overcollateralization ratios are reported at 131.27%
and 111.32%, respectively, versus July 2009 levels of 127.9% and
106.76%, respectively. In particular, the Class B/C
overcollateralization ratio has increased in part due to the
diversion of 25% of excess interest to delever the Class B Notes
and Class C Notes, as required by the priority of payments. Since
the rating action in August 2009, $10.5 million of interest
proceeds have reduced the outstanding balance of the Class B Notes
by 13.6% or $6.3 million and the outstanding balance of the Class
C Notes by 6.8% or $4.2 million.
Notwithstanding the above, Moody's notes that the credit quality
of the underlying portfolio has deteriorated since the rating
action in August 2009. The weighted average rating factor is
reported at 2613 in July 2011 compared to 2414 in August 2009.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $731.6 million,
defaulted par of $8.9 million, a weighted average default
probability of 19% (implying a WARF of 2787), a weighted average
recovery rate upon default of 48.68%, and a diversity score of 35.
The default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Sandelman Finance 2006-2 Ltd., issued in January 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new issue
loans or other loans with longer maturities and/or participate in
amend-to-extend offerings. Moody's tested for a possible extension
of the actual weighted average life in its analysis.
2) Other collateral quality metrics: The deal is allowed to
reinvest and the manager has the ability to deteriorate the
collateral quality metrics' existing cushions against the covenant
levels. Moody's analyzed the impact of assuming the worse of
reported and covenanted values for weighted average rating factor,
weighted average spread, weighted average coupon, and diversity
score.
SANTANDER DRIVE: Moody's Assigns (P)Ba2 Rating to Cl. E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Santander Drive Auto Receivables Trust 2011-
4 (SDART 2011-4). This is the fourth public senior/subordinated
transaction of the year for Santander Consumer USA Inc. (SC USA).
The complete rating actions are:
Issuer: Santander Drive Auto Receivables Trust 2011-4
Cl. A-1, Assigned (P)P-1 (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa1 (sf)
Cl. C, Assigned (P)A1 (sf)
Cl. D, Assigned (P)Baa2 (sf)
Cl. E, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, and the experience and expertise of SC USA as
servicer.
The principal methodology used in rating the transaction is
"Moody's Approach to Rating U.S. Auto Loan-Backed Securities,"
published in May 2011.
Moody's median cumulative net loss expectation for the SDART 2011-
4 pool is 12.0% and total credit enhancement required to achieve
Aaa rating (i.e. Aaa proxy) is 44.5%. The loss expectation was
based on an analysis of SC USA's portfolio vintage performance as
well as performance of past securitizations, and current
expectations for future economic conditions.
The Assumption Volatility Score for this transaction is Low/Medium
versus a Medium for the sector. This is driven by the a Low/Medium
assessment for Governance due to the presence of a highly rated
parent, Banco Santander (Aa2 negative outlook/P-1), in addition to
the size and strength of SC USA's servicing platform.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in
determining the initial rating were changed to 20%, 25% or 35.0%,
the initial model output for the Class A notes might change from
Aaa to Aa1, Aa2, and A2, respectively; Class B notes might change
from Aa1 to A1, A3, and below B3, respectively; Class C notes
might change from A1 to Baa3, B1, and below B3, respectively;
Class D notes might change from Baa2 to B3, below B3, and below
B3, respectively; and Class E notes might change from Ba2 to below
B3 in all three scenarios.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
Additional research including a pre-sale report for this
transaction is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for
Structured Finance Securities" and "V Scores and Parameter
Sensitivities in the U.S. Vehicle ABS Sector" are also available
on moodys.com.
SANTANDER DRIVE: S&P Gives 'BB' Rating on Class E Notes
-------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Santander Drive Auto Receivables Trust 2011-4's
$774.6 million automobile receivables-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Oct. 3,
2011. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
"The availability of 47.60%, 41.02%, 32.08%, 25.40%, and
21.72% of credit support for the class A, B, C, D, and E notes
based on stress cash flow scenarios (including excess
spread), which provide coverage of approximately 3.5x, 3.0x,
2.3x, 1.75x, and 1.5x our 12.50%-13.50% expected cumulative
net loss (CNL)," S&P said.
The timely interest and principal payments made under stress
cash flow modeling scenarios appropriate to the assigned
preliminary ratings.
"Our expectation that under a moderate ('BBB') stress
scenario, all else being equal, our ratings on the class A and
B notes will remain within one rating category of the assigned
ratings, and our ratings on the class C, D, and E notes will
remain within two rating categories of the assigned ratings,
which is consistent with our credit stability criteria (see
'Methodology: Credit Stability Criteria," published May 3,
2010)," S&P said.
The originator/servicer's history in the subprime/specialty
auto finance business.
"Our analysis of six years of static pool data on Santander
Consumer USA Inc.'s (SC USA's) lending programs," S&P said.
The transaction's payment/credit enhancement structure and
legal structure.
Standard & Poor's 17g-7 Disclosure Report
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at
http://standardandpoorsdisclosure-17g7.com/1111177.pdf
Preliminary Ratings Assigned
Santander Drive Auto Receivables Trust 2011-4
Class Rating Type Interest Amount
rate(i) (mil. $)(i)
A-1 A-1+ (sf) Senior Fixed 145.800
A-2 AAA (sf) Senior Fixed 295.000
A-3 AAA (sf) Senior Fixed 59.200
B AA (sf) Subordinate Fixed 77.870
C A (sf) Subordinate Fixed 98.360
D BBB (sf) Subordinate Fixed 73.770
E BB (sf) Subordinate Fixed 24.590
(i)The interest rates and actual sizes of these tranches will be
determined on the pricing date.
SAPPHIRE VALLEY: Moody's Upgrades Rating of Class E Notes to 'Ba2'
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Sapphire Valley CDO I Ltd.:
US$418,500,000 Class A Senior Notes Due 2022 (current balance of
$356,047,464), Upgraded to Aaa (sf); previously on June 22, 2011
Baa2 (sf) Placed Under Review for Possible Upgrade;
US$73,000,000 Class B Senior Notes Due 2022, Upgraded to Aa2 (sf);
previously on June 22, 2011 Ba2 (sf) Placed Under Review for
Possible Upgrade;
US$20,000,000 Class C Deferrable Mezzanine Notes Due 2022,
Upgraded to A2 (sf); previously on June 22, 2011 B3 (sf) Placed
Under Review for Possible Upgrade;
US$20,000,000 Class D Deferrable Mezzanine Notes Due 2022,
Upgraded to Baa3 (sf); previously on June 22, 2011 Caa3 (sf)
Placed Under Review for Possible Upgrade;
US$18,000,000 Class E Deferrable Mezzanine Notes Due 2022 (current
balance of $12,956,700), Upgraded to Ba2 (sf); previously on
June 22, 2011 Ca (sf) Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios since the rating action
in February 2011. Moody's notes that the overcollateralization
ratios of the rated notes have improved due to lower ratings based
haircuts on CLO tranches. Based on August 2011 trustee report, the
Class A/B, Class C, Class D, and Class E overcollateralization
ratios are reported at 117.48%, 112.25%, 107.46%, 104.57%,
respectively, versus January 2011 levels of 114.15%, 109.14%,
104.54%, 100.73%, respectively, and all overcollateralization
ratios are currently in compliance.
Moody's also notes that the transaction is exposed to a
significant concentration of mezzanine and junior CLO tranches.
Based on the August 2011 trustee report, CLO Securities currently
held in the portfolio total about $142.6 million, accounting for
approximately 26.2% of the collateral balance. Moody's considered
a lower diversity score due to the high correlation between the
CLO tranches and the corporate obligors in the portfolio.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $541.3 million,
defaulted par balance of $2.2 million, a weighted average default
probability of 21.34% (implying a WARF of 2606), a weighted
average recovery rate upon default of 44.2%, and a diversity score
of 62. The default and recovery properties of the collateral pool
are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Sapphire Valley CDO I Ltd., issued in December of 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans and CLO securities.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011. In addition, due to the large
concentration of CLO tranches in the portfolio, CDOROM 2.8 was
used to simulate a default distribution that was then applied as
an input in the cash flow model.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) CLO Tranches: The deal is exposed to a large concentration of
mezzanine and junior CLO tranches in the underlying portfolio.
These tranches tend to experience volatile returns and extension
risk during periods of market turmoil due to their leveraged
nature and structural subordination. As a result, the deal may be
particularly impacted by the uncertainty in the timing and amount
of cash received as well as the pace of delevering of the
underlying CLO tranches.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new issue
loans or other loans with longer maturities and/or participate in
amend-to-extend offerings. Moody's tested for a possible extension
of the actual weighted average life in its analysis.
SEQUOIA MORTGAGE: Fitch Puts Rating on $3 Million Cert. at 'BBsf'
-----------------------------------------------------------------
Fitch Ratings has issued a new issue report on Sequoia Mortgage
Trust 2011-2.
On Sept. 27, 2011 Fitch rated the transaction and assigned ratings
and Rating Outlooks:
-- $347,460,000 class A-1 certificate 'AAAsf'; Outlook Stable;
-- $347,460,000 non-offered class A-IO notional certificate
'AAAsf'; Outlook Stable;
-- $10,319,000 class B-1 certificate 'AAsf'; Outlook Stable;
-- $4,878,000 class B-2 certificate 'Asf'; Outlook Stable;
-- $5,440,000 class B-3 certificate 'BBBsf'; Outlook Stable;
-- $3,002,000 non-offered class B-4 certificate 'BBsf'; Outlook
Stable.
The non-offered class B-5 certificate will not be rated.
SLM STUDENT: Fitch Affirm Rating on Class B Notes at 'BBsf'
-----------------------------------------------------------
Fitch Ratings affirms both the senior and subordinate student loan
notes at 'AAAsf' and 'BBsf' issued by SLM Student Loan Trust
series 2003-12. The Rating Outlook remains Stable. Fitch used
its 'Global Structured Finance Rating Criteria', and 'U.S. FFELP
Student Loan ABS Surveillance Criteria', as well as 'Rating U.S.
Federal Family Education Loan Program Student Loan ABS' to review
the ratings.
Affirmation of the senior and subordinate notes are based on the
sufficient level of enhancement any combination of
overcollateralization, subordination, and projected minimum excess
spread to cover the applicable risk factor stresses.
Fitch has taken the following rating actions:
SLM Student Loan Trust, Series 2003-12:
-- Class A-4 affirmed at 'AAAsf'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf'; Outlook Stable;
-- Class A-6 affirmed at 'AAAsf'; Outlook Stable;
-- Class B affirmed at 'BBsf'; Outlook Stable.
SOUTH STREET: S&P Reinstates & Lowers Ratings on 3 Classes to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on the
class A-2, A-2L, and A-3 notes issued by South Street CBO 1999-1
Ltd., by reinstating them and simultaneously lowering them to 'D
(sf)'.
"We lowered our ratings due to the nonpayment of the full
principal balance due to these notes on July 1, 2011, the
transaction's legal final maturity and final payment date. After
the July payment date, the class A-2, A-2L, and A-3 notes had
unpaid outstanding balances of $21.02 million, $14.01 million, and
$45.50 million," S&P related.
"Due to an error, we withdrew our 'CC (sf)' rating on these notes
on Sept. 1, 2011, instead of lowering them to 'D (sf)'. South
Street CBO 1999-1 Ltd. is a collateralized bond obligation (CBO)
issued in 1999 managed by Colonial Advisory Services Inc.," S&P
related
Ratings Corrected
South Street CBO 1999-1 Ltd.
Rating
Class To From
A-2 D (sf) NR
A-2L D (sf) NR
A-3 D (sf) NR
NR -- Not Rated.
STONE TOWER: Moody's Raises Rating of Class A-2L Notes to 'Ba3'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Stone Tower CDO Ltd.:
US$148,000,000 Class A-1LA Floating Rate Notes Due January 29,
2020 (current balance of $70,756,288), Upgraded to Aa3 (sf);
previously on June 22, 2011 B2 (sf) Placed Under Review for
Possible Upgrade;
US$37,000,000 Class A-1LB Floating Rate Notes Due January 29,
2040, Upgraded to Baa1 (sf); previously on June 22, 2011 Caa1 (sf)
Placed Under Review for Possible Upgrade;
US$44,000,000 Class A-2L Floating Rate Notes Due January 29, 2040,
Upgraded to Ba3 (sf); previously on June 22, 2011 Ca (sf) Placed
Under Review for Possible Upgrade;
US$20,000,000 Class A-3L Floating Rate Notes Due January 29, 2040,
Upgraded to B3 (sf); previously on June 22, 2011 Ca (sf) Placed
Under Review for Possible Upgrade; and
US$24,000,000 Class B-1L Floating Rate Notes Due January 29, 2040
(current balance of $17,435,102), Upgraded to Caa3 (sf);
previously on October 19, 2009 Downgraded to C (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an improvement in the
credit quality of the underlying portfolio, the paydown of the
Class A-1LA notes due to Class B overcollateralization test
failure, and an increase in the overcollateralization ratios due
to such paydown. Based to the most recent trustee report dated
August 22, 2011, the weighted average rating factor is currently
2319 compared to 3211 in August 2009. The Senior Class A, Class A,
and Class B overcollateralization ratios are reported in the same
trustee report at 133.93%, 118.33%, and 85.12%, respectively,
versus August 2009 levels of 114.9%, 104.8%, and 78.79%. Since the
last rating action in October 2009, the Class A-1LA notes have
been paid down by 37%, or approximately $55.7 million.
Moody's also notes that the transaction is exposed to a highly
significant concentration of mezzanine and junior CLO tranches.
Based on the August 2011 trustee report, CLO Securities currently
held in the portfolio total about $178 million, accounting for
approximately 86% of the collateral balance.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $204.85 million,
defaulted par of $5.95 million, a weighted average default
probability of 11.4% (implying a WARF of 1881), and a weighted
average recovery rate upon default of 26.2%. The default and
recovery properties of the collateral pool are incorporated in
cash flow model analysis where they are subject to stresses as a
function of the target rating of each CLO liability being
reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Stone Tower CDO Ltd., issued in December 2004, is a collateralized
debt obligation backed by a portfolio of primarily structured
finance securities.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011. In addition, due to the high
concentration of CLO tranches in the portfolio, CDOROM 2.8 was
used to simulate a default distribution that was then applied as
an input in the cash flow model.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Delevering: A source of uncertainty in this transaction is
whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
2) CLO Tranches: The deal is exposed to a large concentration of
mezzanine and junior CLO tranches in the underlying portfolio.
These tranches tend to experience volatile returns and extension
risk during periods of market turmoil due to their leveraged
nature and structural subordination. As a result, the deal may be
particularly impacted by the uncertainty in the timing and amount
of cash received as well as the pace of delevering of the
underlying CLO tranches.
3) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
TIERS RIVERSIDE: S&P Gives 'BB' Rating on Series 2011-3 Sr. Certs.
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its 'BB (sf)' rating
to TIERS Riverside Park CLO Pass-Through Trust's $15 million
senior certificates series 2011-3.
The certificate issuance is a pass-through securitization backed
by Riverside Park CLO Ltd.'s class D senior secured deferrable
floating-rate notes.
The rating on the series 2011-3 senior certificates is linked
directly to the rating on Riverside Park CLO Ltd.'s $15 million
class D senior secured deferrable notes (see "Presale: Riverside
Park CLO Ltd./Riverside Park CLO Corp.," published Aug. 5, 2011).
Standard & Poor's 17g-7 Disclosure Report
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description on how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
There is no Standard & Poor's 17g-7 Disclosure Report included in
this credit rating report because, in S&P's view, there are no
representations, warranties and enforcement mechanisms available
to investors.
Rating Assigned
TIERS Riverside Park CLO Pass-Through Trust 2011-3
Class Rating Amount (mil. $)
Senior certificates BB (sf) 15.000
Junior certificates NR 108.396
NR -- Not rated.
VOLKSWAGEN CREDIT: Moody's Assigns Definitive Ratings
-----------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
Series 2011-1 Auto Dealer Loan Backed Notes issued by Volkswagen
Credit Auto Master Owner Trust (VWAMOT 2011-1).
The complete rating action is:
$625,000,000, Class A Asset Backed Notes, rated Aaa (sf)
Moody's said the ratings are based on the quality of the
underlying auto dealer floorplan receivables, the strength of the
structure, and the experience of VW Credit Inc, as servicer.
PRIMARY METHODOLOGY
The principal methodology used in rating VWAMOT 2011-1 was Moody's
Approach to Rating U.S. Floorplan ABS Securities.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments in this transaction.
V-SCORE AND PARAMETER SENSITIVITY
The V Score for this transaction is Medium, which is equal to the
Medium V score assigned for the U.S. Dealer Floorplan Loan ABS
sector. The V Score indicates "Medium" uncertainty about critical
assumptions such as dealer default probabilities and recovery
rates. Moody's V Scores provide a relative assessment of the
quality of available credit information and the potential
variability around the various inputs to a rating determination.
The V Score ranks transactions by the potential for significant
rating changes owing to uncertainty around the assumptions due to
data quality, historical performance, the level of disclosure,
transaction complexity, the modeling and the transaction
governance that underlie the ratings. V Scores apply to the entire
transaction (rather than individual tranches).
Moody's Parameter Sensitivities: Consistent with Moody's
methodology, the analysis of VWAMOT 2011-1 included Simulation
Analysis. Moody's simulation analysis incorporated a stressed
average dealer rating of B3 and assumptions for recovery rates of
repossessed cars from defaulted dealers 85% for new cars and 80%
for used cars. Moody's analysis reveals Class A sensitivity down
to the A, Baa and B levels with additional 50% stress to the
recovery rate and stressed dealer rating of B3, Caa1, Caa2,
respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
WACHOVIA BANK: S&P Lowers Rating on Class O From 'B-' to 'CCC+'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
classes of U.S. commercial mortgage-backed securities (CMBS) from
Wachovia Bank Commercial Mortgage Trust's series 2005-C16. "In
addition, we affirmed our ratings on the 11 remaining classes from
the same transaction," S&P said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. CMBS conduit/fusion criteria. Our
analysis included a review of the credit characteristics of all of
the loans in the pool, the transaction structure, and the
liquidity available to the trust. The downgrades reflect credit
support erosion that we anticipate will occur upon the eventual
resolution of the five specially serviced assets ($48.9 million,
3.4%) and one loan ($9.6 million, 0.7%) that we determined to be
credit-impaired," S&P stated.
The affirmed ratings on the principal and interest certificates
reflect subordination levels and liquidity that is consistent with
the outstanding ratings. "We affirmed our 'AAA (sf)' ratings on
the XC and XP interest-only (IO) certificates based on our current
criteria," S&P said.
"Our analysis included a review of the credit characteristics of
the remaining assets in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.51x and a loan-to-value (LTV) ratio of 98.0%
for the loans in the pool. We further stressed the loans' cash
flows under our 'AAA' scenario to yield a weighted average DSC of
1.03x and an LTV ratio of 126.4%. The implied defaults and loss
severity under the 'AAA' scenario were 54.3% and 28.8%,
respectively. We separately estimated losses for three of the six
specially serviced and credit-impaired assets and included them in
our 'AAA' scenario implied default and loss severity figures," S&P
stated.
As of the Sept. 16, 2011, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $261,213
primarily related to the reimbursement of advances to the servicer
due to nonrecoverability totaling $194,893 for the Four Points
Sheraton loan ($9.9 million, 0.68%), as well as $55,831 of
nonrecoverable scheduled interest for this same loan. In addition
$10,138 in special servicing and workout fees and $350 of other
shortfalls contributed to the total monthly interest shortfalls.
"The interest shortfalls have affected all classes subordinate to
and including class H. Classes J, K, and L experienced cumulative
interest shortfalls for two months, but we do not expect these
classes to experience recurring interest shortfalls in the near
term because the master servicer does not expect to take further
reimbursement of advances for the Four Points Sheraton loan," S&P
said.
Credit Considerations
As of the Sept. 16, 2011 trustee remittance report, five assets
($48.9 million; 3.4%) in the pool were with the special servicer,
CWCapital Asset Management LLC (CWCapital). The reported payment
status of these assets as of the Sept. 16, 2011, trustee
remittance report is: three are in foreclosure ($18.7 million;
1.3%); one is 30-days delinquent ($5.4 million; 0.4%); and one is
current ($24.8 million, 1.7%). Two assets ($16.3 million, 1.1%)
have appraisal reduction amounts (ARAs) in effect totaling $9.8
million. Details of the two largest specially serviced loans are:
The ADG Crossed Portfolio loan ($40.3 million, 2.8%), the ninth-
largest exposure in the pool, comprises six cross-collateralized
and cross-defaulted multi-property and single property loans, one
of which appears in the Sept. 16, 2011, trustee remittance report
as being specially serviced. The ADG Crossed Portfolio loan is
secured by 19 mobile-home parks (MHPs) totaling 2,457 pads in
Wisconsin and Minnesota and a 90-unit multifamily apartment
complex in North Canton, Ohio. The properties are also encumbered
by a $2.5 million subordinate B note. The ADG MHP Pool Two loan
has a total unpaid principal balance of $24.8 million, which
secures eleven MHP's, and was transferred to the special servicer
due to imminent monetary default on July 20, 2010. CWCapital
indicated that the loan is now current and was transferred back to
the master servicer on March 21, 2011. The combined DSC for the
portfolio was 1.53x for the 12 months ended Dec. 31, 2009, and
occupancy was 86.8% as of December 2009.
The Four Points Sheraton loan ($9.7 million, 0.7%) is secured by a
508-room hotel in Milwaukee, Wis. The loan was transferred to the
special servicer on June 22, 2010, due to imminent default. The
reported payment status of the loan is in foreclosure and
CWCapital indicated that the property was listed for sale through
receivership in August 2011. An ARA of $7.9 million is in
effect against this asset, and the master servicer has deemed all
advances with respect to this loan as nonrecoverable. "We expect a
significant loss upon the resolution of this asset," S&P related.
The remaining three assets with the special servicer
($34.5 million; 1.1%) have individual balances of less than
$10.0 million and individually represent less than 1% of the total
pool balance. A $1.9 million ARA is in effect for one of the three
remaining assets. "We estimated losses for these three assets
($14.4 million, 1.0%) at a weighted-average loss severity of
16.8%," S&P stated.
"In addition to the specially serviced assets, we determined the
Village at Mirror Lake Shopping Center loan ($9.6 million, 0.7%)
to be credit-impaired. The loan, secured by a 76,178-sq.-ft.
retail center in Villa Rica, Ga., has a reported 30 days
delinquent payment status and a low reported DSC of 0.86x for
year-end 2010. As a result, we view this loan to be at an
increased risk of default and loss," S&P related.
Five loans totaling $103.9 million (7.3%) were previously with the
special servicer and have been returned to the master servicer.
Pursuant to the transaction documents, the special servicer is
entitled to a workout fee that is 1% of future principal and
interest payments if the loans perform and remain with the master
servicer. According to Wells Fargo, the workout fee will be
collected on these five loans.
Transaction Summary
As of the Sept. 16, 2011, trustee remittance report, the
transaction had an aggregate trust balance of $1.43 billion (145
loans), compared with $2.1 billion (183 loans) at issuance. Wells
Fargo Bank N.A., the master servicer, provided financial
information for 99.8% of the pool (by balance), which was
primarily full-year 2010 information. "We calculated a weighted-
average DSC of 1.63x for the loans in the pool based on the
reported figures. Our adjusted DSC and LTV were 1.51x and 98.0%,
which exclude all five ($48.9 million; 3.4%) of the transaction's
specially serviced assets and one credit-impaired loan
($9.6 million, 0.7%). The trust has experienced three principal
losses to date totaling $3.9 million. Twenty-three loans
($236.4 million, 16.6%) are on the master servicer's watchlist,
including two of the top 10 loans. Five loans ($28.2 million,
1.9%) have reported DSCs between 1.00x and 1.10x, and eight loans
($62.4 million, 4.4%) have reported DSCs of less than 1.00x," S&P
stated.
Summary of Top 10 Loans
The top 10 loans have an aggregate outstanding trust balance of
$547.3 million (38.4%). "Using servicer-reported information, we
calculated a weighted-average DSC of 1.92x for the top 10 loans.
Our adjusted DSC and LTV figures for the top 10 loans were 1.64x
and 96.7%. Two of the top 10 loans ($86.4 million, 6.1%) are on
the master servicer's watchlist," S&P said.
The 17 Battery Place North loan ($53.0 million, 3.7%), the largest
loan on Wells Fargo's watchlist and the fourth-largest loan in the
pool, is secured by a 398,354-sq.-ft. office property in lower
Manhattan. The loan is on the master servicer's watchlist due to
the Nov. 11, 2011, upcoming maturity date of the loan. The
borrower has the right to exercise a one-time extension of the
maturity date up to and through Nov. 11, 2012, pursuant to certain
conditions of a forbearance agreement entered into on November
2009. In order to exercise the one-time extension, the borrower
must provide written notice to the Lender at least 15 days prior
to the originally scheduled forbearance expiration date of Nov.
11, 2011. As of Dec. 31, 2010, the reported DSC and occupancy were
2.37x and 97.1%.
The Westgate Business Center loan ($33.4 million, 2.3%), the
ninth-largest loan in the pool, is secured by a 577,009-sq.-ft.
mixed-use (retail/industrial/office) property in San Leandro,
Calif. The loan appears on the master servicer's watchlist due to
its upcoming maturity on Dec. 11, 2011. As of Dec. 31, 2010, the
reported DSC and occupancy were 1.18x and 85.9%.
Standard & Poor's stressed the loans in the pool according to its
criteria and the resultant credit enhancement levels are
consistent with its lowered and affirmed ratings.
Ratings Lowered
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C16
Rating
Class To From Credit enhancement (%)
B AA (sf) AA+(sf) 15.48
C AA-(sf) AA(sf) 13.67
D A (sf) A+(sf) 11.31
H BB+ (sf) BBB-(sf) 4.61
J BB (sf) BB+ (sf) 4.43
K BB- (sf) BB (sf) 3.89
L B+ (sf) BB- (sf) 3.16
M B (sf) B+ (sf) 2.80
N B- (sf) B (sf) 2.44
O CCC+ (sf) B- (sf) 2.08
Ratings Affirmed
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C16
Class Rating Credit enhancement (%)
A-2 AAA (sf) 28.70
A-3 AAA (sf) 28.70
A-PB AAA (sf) 28.70
A-4 AAA (sf) 28.70
A-1A AAA (sf) 28.70
A-J AAA (sf) 19.46
E A- (sf) 9.87
F BBB+ (sf) 8.05
G BBB (sf) 6.60
XC AAA (sf) N/A
XP AAA (sf) N/A
N/A -- Not applicable.
WESTCHESTER CLO: Moody's Raises Rating of Class D Notes to 'B3'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Westchester CLO, Ltd.:
US$570,500,000 Class A-1-A Floating Rate Senior Secured Extendable
Notes due 2022 (current outstanding balance of $493,339,710.79),
Upgraded to Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed
Under Review for Possible Upgrade;
US$142,500,000 Class A-1-B Floating Rate Senior Secured Extendable
Notes due 2022, Upgraded to Aa1 (sf); previously on June 22, 2011
Baa3 (sf) Placed Under Review for Possible Upgrade;
US$80,000,000 Class B Floating Rate Senior Secured Extendable
Notes due 2022, Upgraded to A2 (sf); previously on June 22, 2011
Ba3 (sf) Placed Under Review for Possible Upgrade;
US$53,500,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes due 2022, Upgraded to Ba3 (sf);
previously on June 22, 2011 Caa1 (sf) Placed Under Review for
Possible Upgrade;
US$36,000,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes due 2022, Upgraded to B3 (sf);
previously on June 22, 2011 C (sf) Placed Under Review for
Possible Upgrade;
US$37,500,000 Class E Floating Rate Senior Secured Deferrable
Interest Extendable Notes due 2022, Upgraded to Ca (sf);
previously on June 22, 2011 C (sf) Placed Under Review for
Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios due to delevering of
the senior notes since the rating action in November 2010. Moody's
notes that the Class A-1-A Notes have been paid down by
approximately 4.3% or $22.4 million since the rating action in
November 2010. As a result of the delevering, the
overcollateralization ratios have increased since the rating
action in November 2010. Based on the latest trustee report dated
August 31, 2011, the Class A/B, Class C, Class D and Class E
overcollateralization ratios are reported at 114.53%, 106.57%,
101.8% and 97.27%, respectively, versus October 2010 levels of
108.73%, 101.5%, 97.16% and 93.01%, respectively. However, Class
C, Class D and Class E overcollateralization ratios are still out
of compliance.
Moody's also notes that the Class C, Class D and Class E Notes
still have outstanding deferred interest and Class D and Class E
notes are currently deferring interest.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $811 million,
defaulted par of $96.7 million, a weighted average default
probability of 22.45% (implying a WARF of 2781), a weighted
average recovery rate upon default of 48.11%, and a diversity
score of 55. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Westchester CLO, Ltd., issued in May 2007, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new issue
loans or other loans with longer maturities and/or participate in
amend-to-extend offerings. Moody's tested for a possible extension
of the actual weighted average life in its analysis.
3) Other collateral quality metrics: The deal is allowed to
reinvest and the manager has the ability to deteriorate the
collateral quality metrics' existing cushions against the covenant
levels. Moody's analyzed the impact of assuming the worse of
reported and covenanted values for weighted average rating factor,
weighted average spread, weighted average coupon, and diversity
score.
* S&P Lowers Ratings on 4 Classes From 3 CDO Transactions to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes from three collateralized debt obligation (CDO)
transactions to 'D (sf)' following the nonpayment of timely
interest to these classes. "At the same time, we affirmed our
'CCC- (sf)' rating on Crystal River CDO 2005-1 Ltd.'s class A
certificates," S&P said.
The downgraded classes had an initial issuance amount of $211
million. All three transactions are mezzanine structured finance
(SF) CDOs backed substantially by residential mortgage-backed
securities. Two are hybrid CDOs.
"The downgrades reflect our criteria for ratings on CDO
transactions that have triggered an event of default (EOD) and may
be subject to acceleration or liquidation (see 'Surveillance
Methodology For Global Cash Flow And Hybrid CDOs Subject To
Acceleration Or Liquidation After An EOD,' published Sept. 2,
2009)," S&P related.
Ratings Lowered
Crystal River CDO 2005-1 Ltd.
Rating
Class To From
B D (sf) CC (sf)
C D (sf) CC (sf)
Stone Tower CDO III Ltd.
Rating
Class To From
A-1LA Dsrp (sf) CCsrp (sf)
Pyxis ABS CDO 2007-1 Ltd.
Rating
Class To From
C D (sf) CC (sf)
Rating Affirmed
Crystal River CDO 2005-1 Ltd.
Class Rating
A CCC- (sf)
* S&P Lowers Ratings on 6 Classes of Certificates to 'D'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 19
classes of commercial mortgage pass-through certificates from five
U.S. commercial mortgage-backed securities (CMBS) transactions due
to interest shortfalls.
"The downgrades reflect current and potential interest shortfalls.
We lowered our ratings on six of these classes to 'D (sf)' because
we expect the accumulated interest shortfalls to remain
outstanding for the foreseeable future. The classes that we
downgraded to 'D (sf)' have had accumulated interest shortfalls
outstanding between three and nine months," S&P said. The
recurring interest shortfalls for the certificates are primarily
due to one or more of these factors:
Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced loans;
The lack of servicer advancing for loans where the servicer
has made nonrecoverable advance declarations;
Special servicing fees; and
Interest rate reductions or deferrals resulting from loan
modifications.
Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using
recent Member of the Appraisal Institute (MAI) appraisals. "We
also considered servicer nonrecoverable advance declarations and
special servicing fees that are likely, in our view, to cause
recurring interest shortfalls," S&P said.
The servicer implements ARAs and resulting ASER amounts in
accordance with each respective transaction's terms. Typically,
these terms call for the automatic implementation of an ARA equal
to 25% of the stated principal balance of a loan when a loan is 60
days past due and an appraisal or other valuation is not available
within a specified timeframe. "We primarily considered ASER
amounts based on ARAs calculated from MAI appraisals when deciding
which classes from the affected transactions to downgrade to 'D
(sf)' because ARAs based on a principal balance haircut are highly
subject to change, or even reversal, once the special servicer
obtains the MAI appraisals," S&P stated.
Servicer nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt service advancing, the recovery of
previously made advances deemed nonrecoverable, or the failure to
advance trust expenses when nonrecoverable declarations have been
determined. Trust expenses may include, but are not limited to,
property operating expenses, property taxes, insurance payments,
and legal expenses.
"We detail the 19 downgraded classes from the five U.S. CMBS
transactions," S&P said.
Bank of America N.A. - First Union National Bank Commercial
Mortgage Trust Series 2001-3
"We lowered our ratings on the class K, L, M, N, and O
certificates from Bank of America N.A. - First Union National Bank
Commercial Mortgage Trust's series 2001-3. We lowered our ratings
to 'D (sf)' on the class N and O certificates to reflect
accumulated interest shortfalls outstanding for three and four
months, respectively, resulting primarily from ASER amounts
related to four ($35.0 million, 24.3%) of the 10 assets ($78.3
million, 54.4%) that are currently with the special servicer, C-
III Asset Management LLC (C-III), as well as special servicing
fees. We lowered our ratings on classes K, L, and M due to reduced
liquidity support available to these classes and the potential for
these classes to experience interest shortfalls in the future
relating to the specially serviced assets. As of the Sept. 12,
2011, trustee remittance report, ARAs totaling $10.1 million were
in effect for four assets and the total reported monthly ASER
amount on these assets was $63,611. The reported monthly interest
shortfalls totaled $88,659 and have affected all of the classes
subordinate to and including class N," S&P stated.
First Union National Bank Commercial Mortgage Trust Series 2000-C2
"We lowered our rating on the class H certificate from First Union
National Bank Commercial Mortgage Trust's series 2000-C2 to 'D
(sf)' to reflect accumulated interest shortfalls outstanding for
nine months, resulting primarily from ASER amounts related to
three ($45.3 million, 57.4%) of the four ($46.3 million, 58.7%)
assets that are currently with the special servicer, LNR Partners
LLC (LNR), as well as special servicing fees and interest not
advanced on the remaining specially serviced asset ($7,486). As
of the Sept. 16, 2011, trustee remittance report, ARAs totaling
$15.7 million were in effect for three assets and the total
reported monthly ASER amount on these assets was $88,267. The
reported monthly interest shortfalls totaled $105,513 and have
affected all of the classes subordinate to and including
class H," S&P related.
First Union National Bank Commercial Mortgage Trust Series 2002-C1
"We lowered our rating on the class M certificate from First Union
National Bank Commercial Mortgage Trust's series 2002-C1 to 'D
(sf)' to reflect accumulated interest shortfalls outstanding for
nine months, resulting primarily from special servicing fees on
the sole loan with the special servicer, CWCapital Asset
Management LLC (CWCapital). CWCapital stated that it has ordered
an updated appraisal and is currently working on a loan
modification with the borrower. As of the Sept. 12, 2011, trustee
remittance report, the reported monthly interest shortfalls
totaled $4,550 and have affected all of the classes subordinate to
and including class M," S&P related.
GE Commercial Mortgage Corp. Series 2004-C3
"We lowered our ratings on the class G, H, J, K, L, M, N, and O
certificates from GE Commercial Mortgage Corp.'s series 2004-C3.
We lowered our rating on class O to 'D (sf)' to reflect
accumulated interest shortfalls outstanding for six months,
resulting primarily from ASER amounts related to three ($16.1
million, 2.2%) of the four ($22.1 million, 3.0%) assets that are
currently with the special servicer, CWCapital, as well as special
servicing fees and interest reduction due to rate modification on
the Maspeth Industrial Center loan ($42,874). We downgraded
classes L, M, and N due to the susceptibility of these classes to
experience interest shortfalls in the future relating to the
specially serviced assets. We downgraded classes G, H, J, and K
due to reduced liquidity support available to these classes,
resulting from the continued interest shortfalls. As of the Sept.
12, 2011, trustee remittance report, ARAs totaling $7.9 million
were in effect for three assets and the total reported monthly
ASER amount on these assets was $30,761 (excluding an ASER
recovery of $213,679 on a liquidated asset this month). The
reported monthly interest shortfalls excluding the ASER recovery
totaled $65,304," S&P stated.
Greenwich Capital Commercial Funding Corp. Series 2005-GG5
"We lowered our ratings on the class A-J, B, C, and D
certificates from Greenwich Capital Commercial Funding Corp.'s
series 2005-GG5. We lowered our rating on class D to 'D (sf)' to
reflect accumulated interest shortfalls outstanding for seven
months, resulting primarily from ASER amounts related to 18
($752.4 million, 19.7%) of the 27 ($1.03 billion, 27.1%) assets
that are currently with the special servicer, LNR, as well as
special servicing fees and interest reduction due to rate
modification on the Benaroya-Met Park West loan ($62,017). We
downgraded classes A-J, B, and C due to reduced liquidity support
available to these classes, resulting from the continued interest
shortfalls and the potential for these classes to experience
future interest shortfalls due to the specially serviced assets.
As of the Sept. 12, 2011, trustee remittance report, ARAs totaling
$326.1 million were in effect for 19 assets and the total reported
monthly ASER amount on these assets was $1,817,584. The reported
monthly interest shortfalls, excluding ASER recoveries from three
specially serviced assets of $1,853,604, totaled $425,716," S&P
added.
Ratings Lowered
Bank of America N.A. - First Union National Bank Commercial
Mortgage Trust
Commercial mortgage pass-through certificates series 2001-3
Credit Reported
Rating enhancement Interest Shortfalls ($)
Class To From (%) Current Accumulated
K B+ (sf) BBB- (sf) 25.69 0 0
L B- (sf) BB+ (sf) 19.77 0 0
M CCC- (sf) BB- (sf) 13.85 0 0
N D (sf) B- (sf) 3.98 58,849 96,231
O D (sf) CCC- (sf) 0.03 29,602 105,112
First Union National Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2000-C2
Credit Reported
Rating enhancement Interest Shortfalls ($)
Class To From (%) Current Accumulated
H D (sf) CCC- (sf) 12.48 50,304 644,832
First Union National Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2002-C1
Credit Reported
Rating enhancement Interest Shortfalls ($)
Class To From (%) Current Accumulated
M D (sf) CCC- (sf) 0.08 3,040 85,533
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2004-C3
Credit Reported
Rating enhancement Interest Shortfalls ($)
Class To From (%) Current Accumulated
G BB- (sf) BBB (sf) 7.63 0 0
H CCC+ (sf) BBB- (sf) 5.03 0 0
J CCC (sf) BB+ (sf) 4.08 0 0
K CCC- (sf) BB (sf) 3.14 0 0
L CCC- (sf) BB- (sf) 2.20 0 0
M CCC- (sf) B (sf) 1.49 (69,192) 0
N CCC- (sf) CCC (sf) 0.78 (87,019) 0
O D (sf) CCC- (sf) 0.07 (27,180) 77,611
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2005-GG5
Credit Reported
Rating enhancement Interest Shortfalls ($)
Class To From (%) Current Accumulated
A-J CCC (sf) B+ (sf) 13.21 0 0
B CCC- (sf) B (sf) 10.68 0 0
C CCC- (sf) B- (sf) 9.69 0 0
D D (sf) CCC- (sf) 7.58 (894,150) 26,782
* S&P Lowers Ratings on 9 Classes of Certificates to 'D'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 16
classes of commercial mortgage pass-through certificates from five
U.S. commercial mortgage-backed securities (CMBS) transactions due
to interest shortfalls. "At the same time, we withdrew our rating
on one additional class, which paid off in full," S&P said.
"The downgrades reflect current and potential interest shortfalls.
We lowered our ratings on nine of these classes to 'D (sf)'
because we expect the accumulated interest shortfalls to remain
outstanding for the foreseeable future. All of the classes that we
downgraded to 'D (sf)' have had accumulated interest shortfalls
outstanding for three or more months," S&P said. The recurring
interest shortfalls for the certificates are primarily due to one
or more of these factors:
Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced loans;
Shortfall due to rate modification;
Special servicing fees; and
Workout fees.
Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using
recent Member of the Appraisal Institute (MAI) appraisals. "We
also considered servicer nonrecoverable advance declarations,
interest rate deferrals associated with modified loans, and
special servicing fees that are likely, in our view, to
cause recurring interest shortfalls," S&P related.
The servicer implements ARAs and resulting ASER amounts in
accordance with each transaction's terms. Typically, these terms
call for the automatic implementation of an ARA equal to 25% of
the stated principal balance of a loan when it is 60 days past due
and an appraisal, or other valuation, is not available within a
specified timeframe. "We primarily considered ASER amounts based
on ARAs calculated from MAI appraisals when deciding which classes
from the affected transactions to downgrade to 'D (sf)'. This is
because ARAs based on a principal balance haircut are highly
subject to change, or even reversal, once the special servicer
obtains the MAI appraisals," S&P said.
Servicer nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt service advancing, the recovery of
previously made advances deemed nonrecoverable, or the failure to
advance trust expenses when nonrecoverable declarations have been
determined. Trust expenses may include, but are not limited to,
property operating expenses, property taxes, insurance payments,
and legal expenses.
"We withdrew our 'BBB (sf)' rating on the class E certificates
from Morgan Stanley Capital I Trust's series 1999-LIFE1 following
the repayment of the class principal balance as noted in the
Sept. 15, 2011, trustee remittance report," S&P related.
"We detail the 16 downgraded classes from the five U.S. CMBS
transactions," S&P said.
COMM 2007-C9
"We lowered our ratings on the class N, O, P, and Q
certificates from COMM 2007-C9 to 'D (sf)' to reflect
accumulated interest shortfalls outstanding between three
and nine months, resulting from ASER amounts related to six
($107.8 million, 3.8%) of the eight assets ($184.2 million, 6.5%)
that are currently with the special servicer, Helios AMC, as well
as special servicing fees and workout fees. As of the Sept. 12,
2011 trustee remittance report, ARAs totaling $47.7 million were
in effect for six assets, and the total reported monthly ASER
amount on the assets was $248,777. The reported monthly interest
shortfalls totaled $295,960 and these shortfalls have affected all
classes subordinate to, and including, class N," S&P said.
Merrill Lynch Mortgage Trust 2004-BPC1
"We lowered our ratings on the class B, C, D, E, and F
certificates from Merrill Lynch Mortgage Trust's series
2004-BPC1. We lowered our rating to 'D (sf)' on the class
F certificate to reflect accumulated interest shortfalls
outstanding for six months, resulting from ASER amounts
related to five ($84.0 million, 10.0%) of the six assets
($88.6 million, 10.5%) that are currently with the special
servicer, C-III Asset Management LLC (C-III), as well as
special servicing fees, workout fees, and shortfalls due
to rate modifications. We downgraded classes B, C, D, and E
due to reduced liquidity support available to the classes
and the potential for these classes to experience interest
shortfalls in the future relating to the specially serviced
assets. As of the Sept. 12, 2011, trustee remittance report, ARAs
totaling $29.3 million were in effect for five of the specially
serviced assets, and the total reported monthly ASER amount on the
assets was $143,400. The reported monthly interest shortfalls
totaled $223,273 and these shortfalls have affected all classes
subordinate to, and including, class E," S&P said.
Morgan Stanley Capital I Inc. Series 1999-LIFE1
"We lowered our ratings on the class H, J, and K certificates
from Morgan Stanley Capital I Trust series 1999-LIFE1. We
lowered our rating to 'D (sf)' on the class K certificate
to reflect accumulated interest shortfalls outstanding for
nine months, resulting from ASER amounts related to four
($11.7 million, 31.8%), of the five assets ($13.2 million,
36.0%) that are currently with the special servicer, Wells Fargo
Bank N.A., as well as special servicing fees and shortfalls due to
rate modifications. We downgraded classes H and J due to reduced
liquidity support available to the classes and the potential for
these classes to experience interest shortfalls in the future
relating to the specially serviced assets. As of the Sept. 15,
2011 trustee remittance report, ARAs totaling $5.1 million were in
effect for four of the specially serviced assets, and the total
reported monthly ASER amount on the assets was $41,752. The
reported monthly interest shortfalls totaled $51,902, and these
shortfalls have affected all classes subordinate to, and
including, class K," S&P said.
Morgan Stanley Capital I Trust Series 2006-IQ12
"We lowered our ratings on the class B, C, and D certificates from
Morgan Stanley Capital I Trust's series 2006-IQ12. We lowered our
ratings on classes C and D to 'D (sf)' to reflect accumulated
interest shortfalls outstanding for four months resulting from
ASER amounts related to 11 ($163.8 million, 6.7%) of the 23 assets
($211.7 million, 8.7%) that are currently with the special
servicer, C-III, as well as special servicing fees, workout fees,
and shortfalls due to interest not advanced by the master servicer
on assets for which it has made nonrecoverable advance
declarations. The master servicer, Berkadia Commercial Mortgage,
has made nonrecoverable advance declarations on the Cedar Park
Apartments ($8.6 million, 0.4%) and North Oaks Apartments
($7.4 million, 0.3%) assets, and the interest not advanced will be
ongoing. We downgraded class B due to reduced liquidity support
available to the class and the potential for the class to
experience interest shortfalls in the future relating to the
specially serviced assets. As of the Sept. 15, 2011 trustee
remittance report, ARAs totaling $96.3 million were in effect for
13 of the specially serviced assets, and the total reported
monthly ASER amount on the assets was $412,438. The reported
monthly interest shortfalls totaled $545,606. For this period,
interest shortfalls affected all classes subordinate to, and
including, class C," S&P said.
Morgan Stanley Capital I Trust Series 2007-HQ12
"We lowered our rating on the class E certificates from Morgan
Stanley Capital I Trust's series 2007-HQ12 to 'D (sf)' to reflect
accumulated interest shortfalls outstanding for nine months,
resulting primarily from ASER amounts related to five ($123.8
million, 7.0%) of the 10 assets ($315.8 million, 17.8%) that are
currently with the special servicer, LNR Partners Inc., as
well as special servicing fees, workout fees, and shortfalls due
to rate modifications. The reported monthly interest shortfalls
totaled $449,627, and the shortfalls have affected all classes
subordinate to, and including, class D," S&P stated.
Ratings Lowered
COMM 2007-C9
Commercial mortgage pass-through certificates
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
N D (sf) CCC- (sf) 2.11 33,720 62,797
O D (sf) CCC- (sf) 1.86 31,495 125,129
P D (sf) CCC- (sf) 1.48 47,243 266,103
Q D (sf) CCC- (sf) 1.22 31,491 190,008
Merrill Lynch Mortgage Trust 2004-BPC1
Commercial mortgage pass-through certificates series 2004-BPC1
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
B BBB+ (sf) A+ (sf) 14.25 0 0
C BBB- (sf) A (sf) 12.77 0 0
D B+ (sf) A- (sf) 10.56 0 0
E CCC+ (sf) B+ (sf) 9.46 (114,564) 47,855
F D (sf) B- (sf) 7.62 69,276 410,805
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 1999-LIFE1
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
H CCC- (sf) B (sf) 47.62 0 0
J CCC- (sf) B- (sf) 27.44 0 0
K D (sf) CCC- (sf) 15.34 20,296 103,733
Morgan Stanley Capital I Trust 2006-IQ12
Commercial mortgage pass-through certificates series 2006-IQ12
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
B CCC+ (sf) B (sf) 7.78 (235,411) 0
C D (sf) CCC+ (sf) 5.96 148,878 763,178
D D (sf) CCC- (sf) 4.84 125,776 506,590
Morgan Stanley Capital I Trust 2007-HQ12
Commercial mortgage pass-through certificates series 2007-HQ12
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
E D (sf) CCC- (sf) 6.77 70,678 300,934
RATING WITHDRAWN
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 1999-LIFE1
Rating
Class To From
E NR BBB (sf)
NR -- Not rated.
* S&P Lowers Ratings on 606 Classes From 82 US RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 606
classes from 92 U.S. residential mortgage-backed securities
(RMBS) transactions and removed 404 of them from CreditWatch with
negative implications. "Concurrently, we affirmed our ratings on
249 classes from the transactions with lowered ratings as well as
seven other transactions, and removed 63 of them from CreditWatch
negative. We also withdrew our ratings on 45 classes from 23
transactions based on our interest-only criteria and removed 42 of
them from CreditWatch negative," S&P related.
The complete rating list is available for free at:
http://bankrupt.com/misc/S&P_Oct5_RMBS_actions_.pdf
The 99 RMBS transactions in this review are backed by Alternative-
A (Alt-A) mortgage loan collateral and were issued between 2005
through 2007.
"On May 11, 2011, we placed 7,389 U.S. RMBS ratings on CreditWatch
with negative implications (see '7,389 Ratings From 2005-2007 U.S.
Prime, Subprime, And Alt-A RMBS On Watch Neg Due To Revised Loss
Projections,' published May 11, 2011). For revised transaction-
specific loss projections associated with these transactions, see
'RMBS: Transaction-Specific Lifetime Loss Projections For Prime,
Subprime, And Alternative-A U.S. RMBS Issued In 2005-2007,"
published June 27, 2011," S&P stated.
"We applied our criteria listed in the 'Related Criteria And
Research' section to derive the loss assumptions used in our
analysis," S&P said.
"The downgrades reflect our belief that projected credit
enhancement for the affected classes will be insufficient to cover
the projected losses we applied at the applicable rating stresses.
The affirmations reflect our belief that the projected credit
enhancement available for these classes is sufficient to cover
projected losses associated with these rating levels," S&P
related.
Rating actions in this release take into account transaction-
specific loss projections. "In order to maintain a 'B' rating on a
class, we assessed whether, in our view, a class could absorb the
base-case loss assumptions we used in our analysis. For Alt-A
transactions, in order to maintain a rating higher than 'B', we
assessed whether the class could withstand losses exceeding our
remaining base-case loss assumptions at a percentage specific
to each rating category, up to 150% for a 'AAA' rating. For
example, in general, we would assess whether one class could
withstand approximately 110% of our remaining base-case loss
assumptions to maintain a 'BB' rating, while we would assess
whether a different class could withstand approximately 120% of
our remaining base-case loss assumptions to maintain a 'BBB'
rating. Each class with an affirmed 'AAA' rating can, in our view,
withstand approximately 150% of our remaining base-case loss
assumptions under our analysis," S&P related.
For additional structure-level information regarding delinquencies
and cumulative losses for these transactions through the August
2011 remittance period please see:
Losses And Delinquencies*
Adjustable Rate Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-2 597 26.09 2.81 14.28 12.46
2005-2 610 9.51 3.48 30.17 27.27
2005-4 598 36.67 2.67 13.50 12.29
2005-4 428 13.24 5.38 37.59 34.10
2006-2 198 22.97 17.39 52.02 47.02
2006-2 990 45.67 3.19 11.06 8.80
2006-2 447 35.92 12.27 28.28 26.38
Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-11CB 1,157 43.30 1.34 18.19 13.63
2005-13CB 737 44.88 1.07 17.31 12.74
2005-14 1,156 23.31 4.10 58.67 53.82
2005-14 98 12.15 4.52 50.69 41.04
2005-17 891 23.11 4.28 52.13 46.05
2005-17 277 29.82 6.38 54.44 50.19
2005-24 579 25.08 4.98 56.33 50.48
2005-24 875 25.23 4.55 53.42 46.50
2005-28 1,864 25.56 6.73 56.95 52.14
2005-34CB 421 47.74 1.72 20.19 15.33
2005-37T1 349 51.08 1.85 31.83 23.49
2005-7CB 1,028 40.16 1.15 17.61 13.68
2005-J1 868 27.36 0.62 16.94 11.61
2005-J2 640 38.01 1.28 22.07 16.90
2005-J6 197 40.53 0.86 17.98 14.60
2006-OA2 1,750 45.12 13.60 68.22 62.26
2007-OH3 587 70.66 9.90 59.07 52.68
American Home Mortgage Investment Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-1 276 44.84 10.64 22.21 19.18
2006-1 1,706 33.41 12.29 41.90 38.24
Banc of America Funding Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-F 794 40.58 5.26 30.75 27.62
2005-F 240 24.20 6.91 69.14 62.63
Bear Stearns Alt A Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-4 384 20.76 5.91 29.60 27.14
2005-4 1,660 30.65 4.56 18.89 16.55
Bear Stearns ALT-A Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-2 1,181 29.18 2.92 24.29 21.13
2005-2 529 14.28 4.75 23.48 21.72
2005-5 804 20.90 5.59 23.93 22.60
2005-5 1,419 37.63 4.80 17.83 15.21
2007-3 919 41.93 22.88 56.77 50.88
Bear Stearns Asset Backed Securities I Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AC2 367 33.96 3.70 22.54 18.00
2005-AC2 195 34.27 3.53 19.84 16.88
2005-AC3 202 35.55 6.37 24.06 19.69
2005-AC3 225 31.19 4.12 17.50 15.51
2005-AC5 113 41.29 5.14 22.85 22.20
2005-AC5 375 40.25 6.29 26.98 23.51
2005-AC6 559 41.47 5.80 24.36 21.29
2005-AC6 218 44.88 3.29 18.06 15.50
BellaVista Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 912 12.88 1.24 29.74 22.78
2005-2 449 17.33 2.46 36.46 32.03
CHL Mortgage Pass-Through Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-3 1,517 22.08 3.42 51.58 45.61
2005-4 1,190 17.53 2.54 50.11 42.63
2005-9 1,695 22.17 3.31 52.20 45.82
2005-HYB1 203 26.19 3.02 57.13 51.80
2005-HYB1 345 32.82 2.77 26.64 22.27
2006-OA5 237 40.63 13.83 65.32 61.77
2006-OA5 1,135 41.43 10.95 67.37 62.68
CSAB Mortgage-Backed Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-1 378 30.96 20.24 62.52 60.35
Deutsche Alt-A Securities
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-5 625 49.68 4.43 18.27 15.77
Deutsche Alt-A Securities Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-BAR1 768 48.38 18.69 46.97 43.20
Deutsche Alt-B Securtieis Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-AB1 728 45.05 9.44 29.54 24.69
DSLA Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR1 1,092 16.58 5.28 34.80 25.45
2006-AR1 993 33.85 12.69 33.91 25.36
2007-AR1 799 55.39 19.07 31.18 26.10
First Horizon Alternative Mortgage Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AA2 345 25.70 2.63 17.31 10.34
2005-FA1 307 37.97 1.02 17.40 10.88
2005-FA4 272 41.56 1.58 19.15 13.11
First Horizon Mortgage Pass-Through Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-4 386 41.28 2.32 14.81 10.06
GMACM Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AA1 266 27.93 4.63 17.28 12.01
GreenPoint Mortgage Funding Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-AR1 1,299 29.83 15.85 48.50 43.46
2006-AR2 1,374 30.60 15.06 51.16 45.88
GSAA Home Equity Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-11 910 35.85 8.38 22.23 20.71
2005-12 568 40.43 4.97 22.88 19.77
HarborView Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-13 914 32.54 7.21 54.62 51.32
2005-2 1,945 22.47 3.53 52.13 48.85
2005-3 1,607 28.88 4.53 46.78 44.43
2005-7 285 27.81 7.09 59.32 53.41
2005-7 501 20.34 5.08 52.11 47.56
2006-BU1 494 43.11 14.69 32.89 29.47
2007-7 1,643 60.72 15.03 31.27 25.33
HomeBanc Mortgage Loan
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-3 986 41.14 2.93 17.71 16.59
Homebanc Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 1,098 29.82 1.46 18.27 16.53
Impac CMB Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-2 121 36.31 1.78 9.20 9.20
2005-2 1,200 17.64 4.34 14.85 10.04
2005-4 124 50.27 3.33 2.22 0.81
2005-4 1,801 15.52 4.75 18.86 14.85
IndyMac INDA Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-AR1 201 51.89 4.05 21.03 11.95
IndyMac INDX Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AR12 1,261 23.56 7.34 34.57 26.00
2005-AR14 1,002 26.54 8.31 34.93 28.01
2005-AR3 576 20.54 4.16 22.72 13.72
2006-AR2 1,751 32.06 16.65 42.93 34.63
2007-FLX1 401 55.24 18.71 44.26 35.51
JPMorgan Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-S3 1,125 47.46 8.08 43.43 35.71
Lehman XS Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 243 38.44 4.67 21.05 19.35
2005-1 636 14.23 8.88 27.99 26.45
2005-2 372 34.89 4.39 26.43 22.71
2005-2 901 16.73 8.46 30.04 26.30
Luminent Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-2 801 39.54 11.97 62.65 54.55
Luminent Mtg Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-6 773 35.79 14.82 44.64 36.56
MASTR Adjustable Rate Mortgages Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-OA1 1,117 35.21 15.06 43.34 34.20
MASTR Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-2 421 32.46 1.10 25.84 15.12
2005-3 399 42.42 1.48 18.78 11.97
MASTR Asset Backed Securities Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006 AB1 579 41.10 8.75 28.31 23.60
Merrill Lynch Alternative Note Asset Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-OAR2 612 59.29 9.74 39.74 35.13
Merrill Lynch Mortgage Investors Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-A3 317 24.32 5.64 32.43 28.11
2006-A3 559 41.86 7.39 27.79 23.44
Morgan Stanley Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-8AR 145 40.30 13.82 37.32 30.08
2006-8AR 230 32.61 15.90 52.95 48.51
2006-8AR 417 47.49 1.30 12.78 8.57
2007-3XS 531 54.11 12.97 32.74 29.34
Morgan Stanley Mortgage Loans Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-6XS 547 59.54 10.35 26.83 22.87
MortgageIT Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-1 494 35.63 16.31 17.88 14.65
2006-1 260 33.80 13.56 34.11 22.43
MortgageIT Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 883 26.64 2.79 9.90 7.57
2005-1 134 34.72 1.34 6.72 3.75
2005-2 606 28.22 3.16 12.70 8.59
2005-2 71 32.92 0.77 5.17 2.63
Nomura Asset Acceptance Corporation Alternative Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-AP1 221 24.21 1.90 27.34 25.17
2005-AP1 132 32.45 4.28 19.04 14.00
Opteum Mortgage Acceptance Corporation
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-4 1,322 36.97 8.71 16.39 13.70
PHH Alternative Mortgage Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2007-3 412 58.04 7.95 28.15 24.61
RALI Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-QS1 215 39.25 1.88 10.56 6.16
2005-QS11 214 45.59 4.17 17.00 12.54
2005-QS9 371 43.78 2.79 16.94 12.57
2006-QO5 1,077 42.21 20.33 51.48 43.25
Residential Asset Securitization Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-I 198 43.49 1.98 18.74 11.44
Structured Adjustable Rate Mortgage Loan Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-14 547 20.07 4.16 57.05 50.25
2005-7 150 14.76 3.05 55.90 39.29
2005-7 968 27.78 4.26 18.90 12.80
Structured Asset Mortgage Investments II Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2006-AR5 971 33.29 11.20 47.11 37.14
2007-AR2 292 58.62 22.53 60.35 55.13
2007-AR2 231 18.66 3.57 45.67 41.65
2007-AR5 602 78.36 8.86 47.06 39.63
Washington Mutual Mortgage Pass Through Certificates WMALT Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-1 491 40.24 1.66 17.04 12.22
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
Original Pool Cum. Total Severe
balance factor losses delinquencies delinquencies
Series (mil. $) (%) (%) (%) (%)
2005-2 452 42.46 2.23 20.99 14.98
*Original balance represents the original collateral balance for
the structure represented. Pool factor represents the percentage
of the original pool balance remaining. Cumulative losses are a
percentage of the original pool balance, and total and severe
delinquencies are percentages of the current pool balance.
The information shows average pool factor, cumulative loss, and
total and severe delinquency information by vintage for Alt-A
collateral as of the August 2011 distribution period.
2005 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
30.92 5.95 31.00 25.95
2006 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
42.16 13.64 41.04 35.33
2007 Vintage
Average Average Average Average
pool factor cumulative total severe
(%) losses (%) delinquencies (%) delinquencies (%)
55.22 14.07 40.26 34.32
Subordination, overcollateralization (prior to its depletion), and
excess spread, when applicable, provide credit support for the
affected transactions.
* S&P Withdraws 'D' Ratings on 62 Classes from 6 U.S. CMBS Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 62
classes from six U.S. commercial mortgage-backed securities (CMBS)
transactions after lowering them to 'D (sf)' at least a month ago.
"We previously lowered the affected ratings to 'D (sf)' due to
either interest shortfalls or principal losses to the classes,"
S&P said.
The interest shortfalls primarily occurred due to one or more of
these factors:
Appraisal subordinate entitlement reduction (ASER) amounts in
effect for the specially serviced assets;
Trust expenses that included, but were not limited to,
property operating expenses, property taxes, insurance
payments, and legal expenses; and
Special servicing fees.
ARCap 2005-RR5 Resecuritization Inc.
"We previously lowered our ratings to 'D (sf)' on classes A-1
through N from ARCap 2005-RR5 Resecuritization Inc. between
March 27, 2008, and May 12, 2011, due to interest shortfalls and
principal losses. According to the Sept. 26, 2011, trustee
remittance report, classes subordinate to and including class
A-1 had a total of $7.3 million in accumulated interest shortfalls
outstanding. In addition, classes subordinate to and including
class B lost 100% of their original principal balances and class
A-3 lost 79.9% of its original principal balance," S&P related.
Greenwich Capital Commercial Mortgage Trust 2006-RR1
"We previously lowered our ratings to 'D (sf)' on classes A1
through Q from Greenwich Capital Commercial Mortgage Trust 2006-
RR1, between Feb. 19, 2009, and July 28, 2011, primarily due to
interest shortfalls. As of the Sept. 21, 2011, trustee remittance
report, accumulated interest shortfalls totaling $20.7 million
affected all classes subordinate to and including class A1," S&P
said.
Lehman Bros. Floating Rate Commercial Mortgage Trust 2005-LLF C4
"We previously lowered our ratings to 'D (sf)' on classes K and
IMT from Lehman Bros. Floating Rate Commercial Mortgage Trust
2005-LLF C4 on May 15, 2009, and July 2, 2010 due to interest
shortfalls and principal losses. Class IMT incurred a $1.0 million
principal loss following the liquidation of the IMT Central
Florida Portfolio loan, according to the Aug. 16, 2010, trustee
remittance report. As of the Sept. 15, 2011, trustee remittance
report, class K had incurred a $2.6 million principal loss
following the liquidation of the sole remaining asset in the
trust," S&P said.
Mezz Cap Commercial Mortgage Trust Series 2005-C3
"We previously lowered our ratings to 'D (sf)' on classes A, B, C,
D, and E from Mezz Cap Commercial Mortgage Trust's series 2005-C3
on Nov. 9, 2010, due to interest shortfalls. As of the Sept. 16,
2011, trustee remittance report, classes subordinate to and
including class A had a total of $4.9 million in accumulated
interest shortfalls outstanding," S&P said.
Mezz Cap Commercial Mortgage Trust Series 2007-C5
"We previously lowered our ratings to 'D (sf)' on classes A
through F from Mezz Cap Commercial Mortgage Trust's series
2007-C5 on Nov. 9, 2010, Aug. 28, 2009, and May 13, 2009, due to
interest shortfalls. As of the Sept. 16, 2011 trustee remittance
report, classes subordinate to and including class B had a total
of $3.7 million in accumulated interest shortfalls outstanding.
While there were no remaining accumulated interest shortfalls
affecting class A according to the September 2011 trustee
remittance report, the class had outstanding accumulated
interest shortfalls for 16 months since April 2010," S&P
related.
SASCO 2007-BHC1 Trust
"We previously lowered our ratings to 'D (sf)' on classes A-1
through S from SASCO 2007-BHC1 Trust between Feb. 19, 2009,
and Sept. 1, 2011, due to interest shortfalls. According to the
Sept. 21, 2011 trustee remittance report, accumulated deferred
interest amounts totaling $11.3 million affected classes
subordinate to and including class A-1. In addition, classes
subordinate to and including class L lost 100% of their original
principal balances. Class K lost 38.9% of its original principal
balance," S&P said.
Ratings Withdrawn
ARCap 2005-RR5 Resecuritization Inc.
Commercial mortgage-backed securities pass-through certificates
series 2005-RR5
Rating
Class To From
A-1 NR D (sf)
A-2 NR D (sf)
A-3 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
F NR D (sf)
G NR D (sf)
H NR D (sf)
J NR D (sf)
K NR D (sf)
L NR D (sf)
M NR D (sf)
N NR D (sf)
Greenwich Capital Commercial Mortgage Trust 2006-RR1
Commercial mortgage-backed securities pass-through certificates
Rating
Class To From
A1 NR D (sf)
A2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
F NR D (sf)
G NR D (sf)
H NR D (sf)
J NR D (sf)
K NR D (sf)
L NR D (sf)
M NR D (sf)
N NR D (sf)
O NR D (sf)
P NR D (sf)
Q NR D (sf)
Lehman Bros. Floating Rate Commercial Mortgage Trust 2005-LLF C4
Commercial mortgage pass-through certificates
Rating
Class To From
K NR D (sf)
IMT NR D (sf)
Mezz Cap Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C3
Rating
Class To From
A NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
Mezz Cap Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C5
Rating
Class To From
A NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
F NR D (sf)
SASCO 2007-BHC1 Trust
Commercial mortgage-backed securities pass-through certificates
series
2007-NCM1
Rating
Class To From
A-1 NR D (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
F NR D (sf)
G NR D (sf)
H NR D (sf)
J NR D (sf)
K NR D (sf)
L NR D (sf)
M NR D (sf)
N NR D (sf)
P NR D (sf)
Q NR D (sf)
S NR D (sf)
NR -- not rated.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
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related conferences are encouraged. Send announcements to
conferences@bankrupt.com/
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland,
USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise
Marie Varquez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R.
Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G.
Patalinghug, and Peter A. Chapman, Editors.
Copyright 2011. All rights reserved. ISSN: 1520-9474.
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